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Improve the performance of your pricings by an order of magnitude

Trading with real-time market data is a challenge. E.g. hedging of structured products requires the computation of derivatives, the so called greeks. Now, many structured products can only be modeled efficiently using a time-consuming Monte Carlo technique or PDE method. What can you do if you need real-time computation of these greeks in order to act quickly in market shifts? Are the prices in your sheet consistently priced without any delays or does your formula overcharge MS Excel when processing real-time data?

Theta Proxy solves this task for you: Learning the price function, Theta Proxy can provide the greeks many thousands times faster then usual pricing methods. It can accelerate your current code without the need of a rewrite.

Theta Proxy comes in three different versions:

  • Theta Proxy XL is an easy to install add-in for MS Excel, which allows you to radically accelerate the processing of complex and thus “slow” formulas. Your MS Excel User Defined Funtion (UDF) will respond instantly making it real-time ready.
  • Theta Proxy HPC is the bigger sibling of Theta Proxy XL. It has a central function repository and can be used from work groups such that multiple training phases are avoided and a revision process of the functions can take place.
  • Theta Proxy RM is the deep integration of Theta Proxy into a risk management system. It allows the quick and precise Potential Future Exposure computation as well as the fast valuation of options within scenario cubes. For trading, the add-on computation, i.e. the cost of capital computation for trades of structured products can be performed within a split second.