UNIVERSAL Add Ins
MB Risk Management (MBRM), developers of the world-famous UNIVERSAL Add-ins. With 30,000+ users world-wide, the UNIVERSAL Add-ins are the most widely-used derivative software for Trading, Risk Management and Arbitrage (Convertibles; Bonds; Exotics; Options; Futures; Swaps). You can download a FREE FULLY FUNCTIONAL 30 Day trial of the UNIVERSAL Add-ins from this site (or from our mirror sites).
Supported Technologies
Windows 95/98/ME,
Windows XP/2000/NT
Software, ASP Hosted
Click on a technology to view similar products within this category.
Pricing
Users (# of seats)
799.00 to 29,999.00
info@mbrm.com
+44 20 7628 2007
Please visit our web site for price list - more info.
Additional Product Information
List of Some of our New or Enhanced Products:, MBRM 2-Factor Interest Rate Volatility Add-in, The new module implements the cutting edge 2-factor "Brace-Gatarek-Musiela" (BGM) model to price and risk manage interest rate derivatives. The system automatically calibrates the BGM interest rate model to any of the traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals), including fitting expected correlations between different parts of the curve. The calibration and pricing are lightning fast., UNIVVAR - Universal VaR Add-in "Value-at-Risk", UNIVVAR calculates a portfolio's exposure to market risk and expresses the exposure in terms of Value-at-Risk (VaR). It also calculates "Incremental VaR" (the incremental effect of a single trade on the whole portfolio's VaR). Cash flows are automatically mapped to multiple vertices. Automatic calculation and comparison of Analytical, Monte Carlo, stress and historical VaR enhances risk management. Whilst the add-in calculates the historical variances and correlations between assets, UNIVVAR also supports historical Garch simulation without variance/correlation matrices, which considerably improves robustness and accuracy., UNIVCRD - Universal Credit Risk Add-in, This new add-in calculates a portfolio's exposure to counterparty risk. A major feature is the use of an analytical methodology which provides a considerable speed advantage over traditional Monte Carlo approaches and which supports default correlations. Instantaneous calculation of credit risk enables real-time monitoring by traders and risk managers. , UNIVFDIF - Universal Finite Difference Add-in , This new add-in (which is part of the MBRM Derivatives Combined Package) implies the local volatility surface and then prices and calculates the full sensitivities of European, American style and Bermudan variable strike Exotic options (including discrete windowed and double barriers) on bonds, commodities, currencies, futures and shares (including discrete dividend payments). The add-in uses the finite difference algorithm which is more advanced than standard binomial trees. Full term structure of interest rates and Multi-Dimensional Local Volatility Surface are handled., UNIVCONV - Universal Convertibles Add-in (Version 8.2), Our UNIVCONV is widely regarded as setting a new industry standard for accuracy, speed AND price. New instruments handled include mandatory convertible DECS and warrants and multiple "CHAIN" resetables. Both 1-factor (trinomial) and 2-factor (9-node) models are supported, including 5 different models for assumed equity growth. Also efficiently analyses callable and putable bonds, bond options and swaptions (including amortizing, accreting or roller-coasters) using the Black-Derman-Toy (BDT) and/or Hull-White models., UNIVEXOT - Universal Exotics Add-in (Version 8.2), Additional exotics are handled, including a new single function to price AND calculate the full sensitivities of Spread, Quanto and Power (e.g. x^2) options. Smoother handling of barriers. Quanto average rate and standard options on multi-currency baskets supported. This add-in is part of the MBRM Derivatives Combined Package., UNIVCDRV - Universal Credit Derivatives Add-in, This new add-in prices Credit Default Swaps and Credit Default Options. The system can imply the default probabilities (or recovery rates) from traded credit default swaps and/or credit options. In addition, the add-in can revalue credit default swaps and/or credit options after they have been traded in order to calculate a theoretical P&L. , UNIVERSAL Add-ins, All our add-ins are compatible with Excel, Access, Visual Basic, C/C++ and Fortran, running under Windows 95, Windows 98 and Windows NT, UNIVOPT - Universal Options Add-in, Version 8.2 of UNIVOPT is the latest version of our option system which is regarded by many dealers and risk managers as the industry standard option pricing and risk management system. Amongst the new features are 6 new models. The options add-in calculates option prices and implied volatilities using the Black, Black-Scholes, Garman-Kolhagen, Cox-Rubinstein (binomial) models, as well as proprietary models for normally distributed underlying instruments. UNIVOPT handles European and American style options on bonds, commodities, currencies, futures (including 3M interest rate futures) and shares (including constant dividend streams and discrete dividend payments). It also calculates sensitivities, such as delta, gamma, fugit, kappa (vega), rho, theta and theta2. UNIVOPT also contains a warrant pricing function which takes into account dilution, (which is very useful when analysing warrants about to be issued by companies on their own stock)., UNIVOPT enables the production of pricing matrices, risk return , profiles and implied volatility analysis for either individual or portfolios of options., A number of example spreadsheets are supplied free with UNIVOPT which enable the user to price and risk manage option portfolios "straight out of the box" without any programming or "spreadsheet" work., UNIVEXOT - Universal Exotics Add-in, The exotics add-in calculates prices, sensitivities and implied volatilities of Exotic options, including Average price (Asian), Barrier and double Barrier (Knock-out and Knock-ins), Digital, Compound, Contingent, Ladder, Lookback and one and two Touch options on bonds, commodities, currencies, futures and shares (including constant dividend streams and discrete dividend payments). For maximum flexibility and sensitivity testing, it allows the user to choose to either a numerical (e.g. binomial tree) algorithm or a flexible Monte Carlo simulation algorithm. The exotics add-in also analyses two asset Rainbow options. This also allows any user specified pay off formula to be entered. Thus spread options, quantos and many second generation exotics can be analysed., The Universal Exotics Add-in requires UNIVOPT - Universal Options Add-in. , Analytical extension to UNIVEXOT - Universal Exotics Add-in, This module implements the latest research papers on the analytical pricing of exotic options (including continuous and discrete barriers and continuous and discrete lookbacks). These analytical models are accessible by simply changing the model number when using UNIVEXOT. This enables numerical, Monte Carlo and analytical option pricing and risk management., UNIVGARCH - Universal Garch Add-in, UNIVGARCH implements various Garch models (including N-GARCH, E-GARCH and O-GARCH). Proprietary optimisation techniques implemented under 32-bit Windows are utilised which finally enable the practical use of Garch models in a trading environment. The Garch model increases the accuracy in the pricing of standard and exotic options (including Windowed Barriers and Windowed one and two touch options) where the underlying does not follow a perfect lognormal distribution (e.g. it has fat tails or non-standard Kurtosis). The Garch model has been proven more accurate than "Black-Scholes" type models, especially for out of the money options which are close to maturity., The Garch model is considered an effective volatility forecaster. UNIVGARCH thus enables the forecast of the forward volatility for any time period and this volatility forecast can also be used in a standard option pricing model, increasing the accuracy of the standard option pricing model., Simulations can be carried out with variable step length, including the handling of discrete dividends and a term structure of interest rates. These substantially increase the accuracy and types of options which can be analysed. Advanced variance reduction techniques are also implemented to substantially increase the accuracy/speed ratio., UNIVGARCH can also be used for the Monte-Carlo pricing of standard and exotic options assuming a constant volatility, therefore increasing the scope of usage to situations where a standard log-normal distribution is desirable. , MBRM Derivatives Combined Package, an inclusive package of , UNIVOPT - Universal Options Add-in, UNIVEXOT - Universal Exotics Add-in, Analytical extension to UNIVEXOT, UNIVGARCH - Universal Garch Add-in, UNIVFDIF - Universal Finite Difference Add-in, costs £1,499 / $2,399 (a saving of $4,000)., UNIVCDRV - Universal Credit Derivatives Add-in, This new add-in prices Credit Default Swaps and Credit Default Options. A protection buyer pays a regular (or one-off) fee and in return, if there is a credit default, he receives a one-off compensation payment. The system can imply the default probabilities (or recovery rates) from traded credit default swaps and/or credit options. In addition, the add-in can revalue credit default swaps and/or credit options after they have been traded in order to calculate a theoretical P&L. This approach has many advantages over implying the default probabilities from bonds, including the fact that there may not be liquid publicly traded bonds issued by an issuer for all maturities (if at all), whereas the OTC credit derivatives market can trade credit default swaps and/or credit options for any issuer at any maturity. The credit derivatives market, being more specialised and focused than the underlying bond market, is also likely to be a more accurate estimator of default probabilities than the bond market., UNIVINT - Universal Interpolating Add-in, The interpolating add-in contains a number of interpolating lookup functions (straight line, cubic splinning, exponentials and polynomial least squares fit etc.) which has a wide variety of uses, including to perform lookups on one or two dimensional volatility smiles and surfaces, forward commodity rates, forward FX points etc. The two dimensional lookup capability is especially useful for looking up swaption volatilities., The interpolating add-in can be used by itself or with any (or all) of our other add-ins, thus providing the ability to create complex term structure models., UNIVYLD - Universal Yield Add-in , The yield add-in is the finest global yield add-in available. Its lighting speed, range of instruments handled and extensive analytics gives the user a competitive edge. It handles international fixed income products, including MTNs, deferred, long or short first coupon bonds as well as bonds callable between coupon payment dates. In addition to the standard market convention yields, the calculator calculates exact TRUE yields (taking into account weekends and holidays), money market yields on all instruments (which can be compared directly with Libor), forward prices (e.g. for repos or bond options), hedge ratios and sensitivities (e.g. duration and convexity) consistent for instruments which have a different number of payments per annum (since using 'standard' unadjusted duration numbers could lead to unnecessary risk exposure due to inaccurate hedging), conversion factors to convert from yield volatility to price volatility (or vice-versa), and US Treasury Equivalent Yields on all instruments., The yield add-in enables the setting up of international fixed income portfolios, with consistent yield, duration and convexity analysis, using your familiar spreadsheet, database or programming language. It also has a cash flow analyser for swaps, projects, loans and esoteric instruments. For quantitative analysts, it provides the ability to construct risk/return profiles on arbitrage trades as well as models of bond futures. For dealers, it enables the setting up of a very flexible trading system. Its uses are thus endless in the fixed income environment. , UNIVYLD handles virtually every bond market in the world (e.g. for Australian bonds, Canadian bonds, Eurodollar FRNs, Eurosterling FRNs, French government bonds, JGBs, South African Bonds, Spanish Bonds, Swedish money market instruments, UK gilts, US bills, US treasuries, US corporates, yankees etc)., UNIVERSAL? Add-ins, All our add-ins are compatible with Excel, Access, Visual Basic, C/C++ and Fortran, running under Windows 95, Windows 98 and Windows NT, UNIVSWAP - Universal Swap Add-in, The swap add-in is an interest rate and cross-currency swap add-in. The add-in builds a No-Arbitrage term structure model for interest rates and volatilities (using mean reversion) from any combination of bonds, swaps, bills, deposits and/or futures. This term structure is used to consistently price instruments, including Bonds, Swaps, FRAs, IRGs, Caps, Collars, Floors, Corridors, Digitals, American and European style swaptions. The approach used for volatility modelling is based on the extended Vasicek (Hull-White) models, with a number of proprietary improvements. This gives maximum flexibility to quantify both standard and non-standard transactions. The swap add-in enables the user to check the prices being quoted by the counterparty, increasing the user's competitive advantage. Multi-currency portfolios are continuously marked to market - improving P&L and Risk monitoring., UNIVSWAP - Universal Swap Add-in incorporates, at no extra charge, full copies of the following four Universal Add-ins :, UNIVOPT - Universal Options Add-in, UNIVEXOT - Universal Exotics Add-in, UNIVYLD - Universal Yield Add-in, UNIVINT - Universal Interpolating Add-in, Single/Cross-Currency Swap Grid (spots & forwards), This application monitors arbitrage opportunities in real-time and was developed in collaboration with GNI Financial Products. The Swap Grid is one of many Excel based applications provided FREE with UNIVSWAP.