PocketNumerix builds financial power tools for Pocket PC and Windows Mobile platforms.
The product portfolio currently includes analytical portfolio managers, support applications, and subscription services. NillaHedge is the star of the show, managing a portfolio of stocks and options, with supporting functionality provided by StrategyExplorer and YieldCurveFitter. BondManager provides analogous functionality for a portfolio of bonds, also supported by YieldCurveFitter. The applications are priced like graphical calculators, yet offer analytics used by professional fund managers.
NillaHedge’s OptionAnalyzer computes implied volatility, the probability of closing in the money, elasticity, and a half-dozen Black-Scholes greeks. Its HedgeExplorer allows users to scroll through graphical realizations of the profit profile for every possible option spread and stock hedge drawn on an underlying stock. Three more graphical tools provide insight into the performance of the option portfolio and individual options with respect to time, the risk free rate, and the underlying stock’s volatility, in the TimeDecayExplorer, RateSensitivityExplorer, and VolatilityValueExplorer.
Similarly, BondManager includes a BondAnalyzer that computes current yield, yield to maturity, Macaulay duration, modified duration, convexity, and imputed value at a given change in spot market yield. BondManager’s RateSensitivityExplorer facilitates an understanding of how the existing portfolio and individual issues will respond to changes in market yields.
Both NillaHedge and BondManager include PortfolioNavigator and PositionTranscripts. PortfolioNavigator facilitates browsing open positions in the form of a folding spreadsheet. PositionTranscripts makes it easy to export a calendar year of transactions for tax purposes.
StrategyExplorer is a tool for planning option spreads and stock hedges, thus supporting NillaHedge.
YieldCurveFitter is a support tool for fitting yield curves, with serveral uses. It computes the spot rate of interest used by NillaHedge as the risk free rate and a rational yield curve given a set of yields, like the U.S. Treasury Bill rates. Fixed income investors watch the ‘risk free’ U.S. T-bill rate curve so they can assess premiums offered by other instruments over the T-bill yield curve.
A StockManager is brewing which will scatterplot stocks in volatility-return space, allowing users to rapidly identify issues with high Sharpe ratios. StockManager will also include a PortfolioEvaluator that computes the maximum return portfolio at a given tolerance for risk and juxtaposes the user’s portfolio weights and Value-at-Risk against results for the mean-variance optimized portfolio.
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