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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
Lookback options
Moving window Asian options

ThetaML Payoff Description Language

  • Technical brief: ThetaML Payoff Description Language and Operator-based Modeling

ThetaML payoff description language

ThetaML Handbook

  • 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

ThetaML Handbook: Download


Thetaris - Computer Aided Finance

About Thetaris

Wilmott Magazine September 08 - Interview - When Upstream is Faster

Product white papers

Theta Suite

Theta Proxy RM

Theta Proxy XL

Use Cases

Theta Proxy RM - Fast Potential Future Exposure Computation (PFE) of an American Asian Option

Theta Suite - Potential Future Exposure Computation (PFE) using Algorithmics RiskWatch and OpenMTF

Theta Suite - Risk Management Solution for Asset Manager

Theta Suite - Risk Management of Structured Products

Theta Suite - Strategic Asset Liability Management

Theta Suite - Structuring and Hedging Variable Annuities

Theta Suite - CMS and Bond Portfolio: Mark-to-Market using Libor Market Model

Presentations and Articles

Upper bound for American option pricing using Least-Squares Monte-Carlo Bender

  • C. Bender at PRMIA 02.06.2008

Wilmott Magazine November 08 - Technical Article - Computer Aided Finance

  • S. Dirnstorfer and A. J. Grau in Wilmott Magazine

Computer Aided Finance - Theta_Suite: the Monte-Carlo toolbox for Matlab

  • A. J. Grau in Vienna (13.10.2011) and Frankfurt (07.10.2011)

A High-Dimensional PDE-Based Approach for Capital Market Guarantees based on ThetaML

  • Stefanie Schraufstetter (13.4.2012) at PRMIA Chapter Meeting

Massive Parallel Solutions of Variable Annuity PDEs

  • Janos Benk (13.4.2012) at PRMIA Chapter Meeting

How To Price & Hedge Variable Annuities With Unhedgeable Risk

  • Stefan Jaschke (13.4.2012) at PRMIA Chapter Meeting