Design Services

Darren Webb
Development Team
Montego Data Limited
September 2003

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Montego Data Limited provides software and consultancy work.
Displayed on the right is a sample from our monetary derivatives application.
Firstly the Record Control Data Entry is showing a Philadephia Exchange American Option.
The user enters the primary detail on the left of the screen and the information on the right of the screen is calculated from look-up tables.
In this case it has been determined that S.E.C. Tax is due on the sale of the option.
The standard instructions are for this premium to be settled on spot plus one business day.

Many of the fields contain added entry support, for example the Record Control Expires field supports N03 in this case to return the second saturday of July 2003.

The Expires field on the Option Calculator supports: 1M, 2M, 3M, 6M, 9M, 1Y, 2Y ( in this case you can see the keys at the bottom of the screen )
Arbitrage free forward points are calculated assuming an annual compounding dividend rate.

The Application is written in Microsoft Visual C++ and includes many of the programming techniques associated with that language: Multi-Threading, OLE-Automation (COM) to Microsoft Word and Microsoft Excel, DAO or ODBC database access and Microsoft Afx Extension DLL's as well as some ATL routines.

The calculator uses a standard Cox-Ross-Rubinstein binomial model, one hundred iterations to produce the prices of the call and put options
The Trader can change the information displayed in the bottom panel by pressing the Display Button

The forward points are calculated against an annual deposit rate reinvestment, as is standard.
The deposit rates are calculated by interprolation on broken dates where possible and extropolation using the final point on the curve adding the day rate.
For example 2Y == 720 days = 6% therefore one day is 0.00833 and say 725 days would be 6.04166%
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