- 1 Software
- 2 Theta Suite product library
- 3 ThetaML Payoff Description Language
- 4 ThetaML Handbook
- 5 Documents
- 5.1 Thetaris - Computer Aided Finance
- 5.2 Product white papers
- 5.3 Use Cases
- 5.3.1 Theta Proxy RM - Fast Potential Future Exposure Computation (PFE) of an American Asian Option
- 5.3.2 Theta Suite - Potential Future Exposure Computation (PFE) using Algorithmics RiskWatch and OpenMTF
- 5.3.3 Theta Suite - Risk Management Solution for Asset Manager
- 5.3.4 Theta Suite - Risk Management of Structured Products
- 5.3.5 Theta Suite - Strategic Asset Liability Management
- 5.3.6 Theta Suite - Structuring and Hedging Variable Annuities
- 5.3.7 Theta Suite - CMS and Bond Portfolio: Mark-to-Market using Libor Market Model
- 5.4 Presentations and Articles
- 5.4.1 Upper bound for American option pricing using Least-Squares Monte-Carlo Bender
- 5.4.2 Wilmott Magazine November 08 - Technical Article - Computer Aided Finance
- 5.4.3 Computer Aided Finance - Theta_Suite: the Monte-Carlo toolbox for Matlab
- 5.4.4 A High-Dimensional PDE-Based Approach for Capital Market Guarantees based on ThetaML
- 5.4.5 Massive Parallel Solutions of Variable Annuity PDEs
- 5.4.6 How To Price & Hedge Variable Annuities With Unhedgeable Risk
Thetaris offers the generic Monte Carlo engine - Theta Suite - that is smart for creating new products and building dynamic interfaces using a domain specific payoff language ThetaML. Better still, Theta Suite is capable of parsing scripted payoffs within the limits of a backend language such as Matlab.
At the foundation of the Theta Suite architecture is an extended payoff language ThetaML. Through ThetaML, Theta Suite gives you the ability to describe arbitrarily complex derivatives or structured products independently from the underlying model implementations or numerics.
Financial instruments are constructed by defining operator objects that represent the typical structure of a deal: the economic states, the valuation functions, and operators applied to an evaluated state. These operator objects can be combined and are compositional. The dynamic model orchestrator allows to build your own Economic Scenario Generator (ESG) via the simultaneous modeling of the state processes and the modeling of cross dependencies among the stochastic variables.
This unique approach makes it possible to quickly structure, validate and price new product types, and then integrate them into the existing system environment.
With Theta Suite, users can use their own random number generators and quasi random number sequence generators that suit their needs.
Theta Suite has a built-in result analyzer with Matlab graphing capabilities. It can also present simulation results in Excel and Matlab for further analyses.
Theta Proxy uses the sparse grid combination basis function for fast and accurate interpolations of functions and curves. The sparse grid combination technique overcomes the “curse of dimensionality” problem encountered in high dimensional space. Theta Proxy uses a search algorithm to automatically select a most appropriate interpolation method - linear, quadratic or cubic spline. The search algorithm is based on the positioning of the data point in the sparse grid representation of the discrete function space, and decides the use of an interpolation method.
Theta Proxy is tested numerically stable, with the proxied functions accurate up to a level of 1E-07.
Theta Suite product library
Theta Suite comes with a library of sample projects. Included in the model library are, among others, the following:
|State processes||Valuation products||Trading and hedging||Risk management|
|Equity models||Interest rate models||Hybrid models||Equity derivatives||Fixed income products||Credit derivatives||Structured products||Trading and hedging strategies||Market risk measures and tests|
|Geometric Brownian Motion (GBM)||Vasicek model||Schöbel-Zhu Hull-White model||European options||Callable bonds||CDO||GMAB||CPPI||Value at Risk|
|Heston model||CIR model||American options||Callable steepener||CDO square||GMIB||Dynamic utility maximization||Conditional Value at Risk|
|Jump diffusion model||Black-Karasinski model||Bermudan options||Swaps||PFE||GMDB||Delta hedging||Back testing|
|GARCH model||Hull-White one & two factor model||Asian options||Bund futures||GMWB||Beta dynamic hedging||Incremental risk charge|
|Gaussian two factor model||Chooser options||GMXB|
|Libor market model||Clique options|
|Moving window Asian options|
ThetaML Payoff Description Language
- Technical brief: ThetaML Payoff Description Language and Operator-based Modeling
- ThetaML Handbook provides a comprehensive guide to the payoff description language ThetaML. The book
uses a tutorial approach to describe the language syntax and has many graphics to aid readers to quickly pick up the language.
- ThetaML permits a short and precise representation of financial products. It is very flexible and offers the benefit to specify the complete structure of a financial product independently of the underlying stochastic processes.
- ThetaML payoff language explicitly incorporates the passage of time. Path dependencies, settlements, reinvestments and early exercises are all appropriately addressed. ThetaML offers a number of extended advantages:
- Procedural extension for time stepping
- Virtual multi-threading
- Simplified vector notation for state variables
- Flexibility to change models, numerical methods and contract execution rules
Thetaris - Computer Aided Finance
Product white papers
Presentations and Articles
- C. Bender at PRMIA 02.06.2008
- S. Dirnstorfer and A. J. Grau in Wilmott Magazine
- A. J. Grau in Vienna (13.10.2011) and Frankfurt (07.10.2011)
- Stefanie Schraufstetter (13.4.2012) at PRMIA Chapter Meeting
- Janos Benk (13.4.2012) at PRMIA Chapter Meeting
- Stefan Jaschke (13.4.2012) at PRMIA Chapter Meeting