FFAs Options Calculator
implements the most robust FFAs Options Calculator in
the industry. Developed in cooperation with derivatives pricing model
SciComp, our pricing model implements an analytical closed
end solution, verified by extensive Monte Carlo simulation. The only
model in the market with consideration for actual market
Our FFAs Option Calculator offers the user the choice to price options
either through the analytical solution, or through
MC Simulation. The pricing engine for MC Simulation
utilizes the raw processing power of NVidia graphics cards,
where hundreds of processor cores implement the simulation in a fraction
of the time required by a single PC processor.
- We do not just offer an Options Calculator, leaving it up to you
to determine the correct parameters to be passed to the model to
evaluate a specific option. We supply all the necessary data,
in historical form, such as implied volatility,
historical volatility, swap closing prices,
spot closing prices, average settlement
spot prices, interest rates etc.
- We take the uncertainty out of the picture, and
we provide you with a robust data environment to
start pricing FFA options out of the box, no more
guestimates or erroneous assumptions. Just double click your mouse
on any swap period displayed on the data grid and all relevant
information is automatically entered into the pricing model.
Just input a strike price and press Calc and you are there!
- With a few clicks of the mouse you can price
almost any common options strategy, like an expert.
- Feel free to adjust all pricing input parameters,
like defining your own swap curves, or volatility profile.
- You can solve for option price, or work
backwards and calculate implied vol from a known
option price, or the strike price that works for a
given option premium.
- All option greeks are available to the user, we
even make it easy for you to figure out delta hedging requirements
in dpm on our Strategy Results area.