The Theta Suite
Today’s financial industry is faced with an increased complexity of investment decisions and a growing variety of products traded in the capital market. Thetaris has developed the Theta Suite software to enable financial engineers to tackle these challenges, keeping productivity up and time-to-market down.
The Theta Suite supports the creation and evaluation of models in various fields of financial engineering:
All complex structured derivatives
The Theta Suite supports the definition of models in ThetaML, a language with unprecedented expressive power and straightforwardness. No matter whether the option is path-dependent, has early exercise or redemption features, cliquet structure and knock-in, knock-out barriers, ThetaML can represent all features concisely. Examples
Firm modelling
Chances and risks inherent in a financial derivative cannot always be determined by looking at the product alone. The portfolio context and the business development often determine the suitability of an investment. The Theta Suite can be used for the evaluation of real options, asset-liability studies and risk management. The Theta Suite supports top-down modelling where various business areas are approximated, as well as the bottom-up approach, modelling each individual financial product and aggregating the risks and returns. Examples
Hedging strategies
A number of hedging strategies can be expressed in ThetaML with unmatched ease, for instance, a fully dynamic variance-optimal strategy in complete and incomplete market models can be expressed with only one extra line of ThetaScript. Another group of representable strategies are dynamic delta, gamma and vega hedges. Static optimization can be evaluated against arbitrary cost functions. Examples
Dynamic Investment strategies
The Theta Suite allows the rapid implementation and back testing of complex trading strategies like CPPI and index replication. The strategies may not only depend on observable parameters, but also on conditional product prices and conditional expectations.
Examples