A Financial Control/Component by WebCab Components

WebCab Options and Futures (J2EE Edition) V3.1

Offers quantitative and risk management techniques for a wide range of option and futures contracts. We apply the Black-Scholes-Merton Options pricing model to European, Asian, American, Lookback, Bermuda and Binary Options using Analytic, Monte Carlo and Finite Difference techniques. Models of implied and historical volatility along with futures account management and market risk monitoring are also included.

The WebCab Exotic Options module implements the following methods and procedures:

• Types of Options - Within this module we show explicitly how-to and offer practical advice on the valuation of Asian, American (single and multi-asset), Lookback, Bermuda, European (single and multi asset) and binary options using the Monty Carlo and Finite Difference techniques.


• Finite Difference Methods - powerful method for finding solutions of the Black-Scholes Equations


• Single Asset Options - We provide an explicit and fully implicit algorithms including a framework in which to measure stability issues under differing scenarios.


• Crank-Nicholson - is a fast and stable method for evaluating single asset option contracts


• Multi-Asset - Implement a general multidimensional finite-difference algorithm


• American, Bermuda Options Modification - we apply the `Successive Over-relaxation' technique in order to value American and Bermuda options


• Asian and Lookback - examples of how strongly path dependent options can be evaluated using Finite Difference methods is given

• Monte Carlo - can be effectively applied to value a large range of option contracts


• Flow implementation - including generation of normal variables and the simulation of the random walk and corresponding cash flows ensures that our implementation of this technique can be applied to value almost any option contract


• Options on many underlying assets - Generate correlation random variable using Cholesky factorization in order to value options contract of European type which depend on many underlying assets


• Control Structure - the user has full control over the number of simulations and/or the required precision

This product also contains the following features:

• GUI Bundle - we bundle a suite of graphical user interface JavaBean components (with 1, 2, 4 or site-wide license) allowing the developer to plug-in a wide range of GUI functionality (including charts/graphs) into their client applications


• EAR Files - we provide individual customized EAR files for the most widely used application servers including IBM WebSphere 4.0/5.0, BEA WebLogic 6.1/7.0, Oracle 9iAS, Sun ONE AppServer 7, Ironflare Orion 1.5.2/1.6.0, Borland AppServer 5.0, Sybase EAServer 3.6 and JBoss 2.4.4/3.0.0


• Self-Deploy - the relevant servers EAR file will be self-deployed onto supported local application servers during the installation of the self-install package. The supported application servers include IBM WebSphere 4.0/5.0, BEA WebLogic 6.1/7.0, Oracle 9iAS, Borland AppServer 5.0, Ironflare Orion 1.5.2/1.6.0 and JBoss 2.4.4/3.0.0


• UML Models - to assist system architects we provide UML diagrams of this component

Technical Information

Component Type - Contains the following types of components...

• Enterprise Javabean

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