Features
 Extensive
functionality for doing rapid financial analysis
Wide
range of analytical pricing models
Deployment
possibility to large IT platforms: For example, distribution
of pricing calculations to several computers, connecting to
multiple databases, connecting to market data sources, and
web-integration
Fast
Monte Carlo functionality for simulating prices and simulating
price paths. This can be done multi-dimensionally incorporating
correlations, and with equidistant or non-equidistant trading
times
Very
extensive library of analytical pricing models for cash flow
related securities and instruments such as bonds, mortgage backed
bonds, floaters, forwards and swaps (e.g. currency swaps and
interest rate swaps)
Many
analytical option pricing models, including models for exotic
options
Bond
types include annuities, bullets, consols, serials and zero-coupon
bonds
Mortgage
backed bond functionality includes prepayment functions based on
the Public Securities Association (PSA) model. The PSA model is
fully integrated into the given analytical pricing models
Binomial
option pricing models that take different dividend specifications
All
financial instrument pricing functions that are based on
discounting of a cash flow can be priced using infinite-precision
numbers or faster (compiled) machine-precision numbers.
Fast
functions that take optional values: For choosing specific
interest compounding methods, day counting methods, calendars etc.
Holiday
calendars for trading days are fully customizable
Convenient
and efficient handling of the first coupon for all financial
instruments that have a floating rate coupon such as swaps and
floaters (variable
interest rate bonds)
Ability
to or not to include accrued interest with all relevant financial
instruments, e.g., bonds, MBOs, and swaps.
Functionality
to fit interest rates and calculating zero-coupon interest rates
from coupon bonds representing "the market"
Fast
discounting functions
Caching
and optimization of core calendar functions for higher performance
Many
hundred pages of documentation including wide variety of detailed
examples.
Documentation
written in Mathematica
notebook format for ease of use, e.g. utilizing hyperlinks in text
for easy referencing and finding information, and for working
directly with the Derivatives Expert functions within the
documentation
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