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Welcome to CapeTools QuantTools! |
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 Here we provide an application programmatic interface of over 2100 functions contained in 120+ categories exported to several programming languages (c++, java, ActiveX and .NET) as well as Excel Addins (all 2100+ functions contained in one addin or split across 17 addins) in order to cater for the pricing and risk management of financial derivatives on the Microsoft Windows platform.
Hours of free training video content showing how the Excel libraries can be used to price complex derivative structures can now be downloaded to your computer. The videos show how one can : Construct and query interest rate yieldcurves, interest rate volatility curves, interest rate SABR volatility curves, equity type volatility curves as well as SABR equity type volatility curves. Price over 45 equity type vanilla or exotic option contracts, apply 6 different solver methods against a vanilla or exotic option contract (can solve for any solvable parameter given an option premium value), scenario analysis, bump risk as well as querying for any first or second order risk parameters (including cross-derivatives). Construct equity type portfolios of over 45 vanilla or exotic option contracts. Once constructed, you can create new sub-portfolios by grouping deals within the portfolio or selecting deals via a visual SQL type process. You can sort deals and query for the option premium as well as any first or second order risk parameters (including cross-derivatives) in a currency of your choice (via a FX Manager object). We show you how to create, query and price vanilla and exotic interest rate leg structures (Regular, In-Arrears, Quanto, CMS, ZeroCoupon, Inverse-floaters, Averaging and Compounding leg types) as well as solve for a flat margin or fixed coupon rate across a number of given legs for a user specified present value (PV). Simulate a single or a correlated group of financial underlying variables within two different montecarlo settings and then querying the montecarlo object(s) for the simulated data.
Everything that is shown within the videos can be applied within our API libraries (C++, .NET, Java and ActiveX library) also the examples do not rely on a single native Excel function call. In order to download these videos, simply navigate (within the main menu on the left) to : Download/Screenshots -> Training Videos |
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Why choose CapeTool's QuantTools library? |
Our aim is to provide an affordable, modern, financial derivatives pricing platform for companies, educational institutions and students of finance.
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Not Another Financial Library...!! |
Let's face it, using open source code is the perfect solution for driving costs down. This drives our costs down in which we can pass over to our customers.
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 If you read any financial contract that requires pricing, for example, an interest rate swap, you will quickly see that some of the objects that are required for pricing are : |
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Microsoft Excel is a great platform for prototyping and constructing complex calculation spreadsheets. Excel's own library of functions is vast. However Excel functions take as input simple data types (integers, numbers, strings) and ranges of these types.
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Is it really so terrible? |
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Take a look at many of the commercial offering today. Many, if not all of the functions require that you pass all the arguments to the function. The function would work only with this input data. It has no knowledge of any objects, if any, created within the library. It would price, clean up the memory, return the result and exit. This is great for client/server work. But for a fat client/desktop programmer, the inputs can look unnatural. |
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 Are there ways around the disadvantages of using ranges as inputs? Can you use objects rather than ranges? Can we create objects that are based on other objects? Can you have access to financial objects the way a financial analysts or quant would define a financial term? We say YES!!! Our solution is to create functions that create objects internally within the library. These objects then return a string key. A Key is a handle to the created object. You then pass this key to other objects or functions where they can access the full definition of the passed in object (via the string key).
The next release, Q4 2007, will also provide libraries that return objects or intefaces. These will be for our Java, C++ and .NET libraries. Thus for Excel users with little experince in programming who would like to program against the API libraries, they can stick with the more familiar string-key output libraries.
For more seasoned programmers, the object libraries will be their best bet. The object libraries will be taylored to use the Spring/Spring.NET frameworks Each object is serializable, can be queried for input parameters and can dispatch events. |
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Take a Swaption instrument. A financial analyst would look at this object in terms of a Swaption object needing access to a swap object which has two interest rate leg objects.
The interest rate leg objects require schedule and calendar objects in order to define the properties of the leg.
The floating interest rate leg object requires access to the definition of the floating rate index (ie - LIBOR).
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