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  • PocketNumerix Announces Mobile Computational Finance Tools

    (EMAILWIRE.COM, April 25, 2008 ) PocketNumerix announces the commercial debut of a suite of computational finance tools for Pocket PCs. The suite includes two portfolio managers, two support tools, and two subscription services. Portfolio managers include: BondManager for analyzing non-callable bonds and a portfolio of bond positions; and NillaHedge for analyzing vanilla puts and calls and a portfolio of option and stock positions. Support tools include StrategyExplorer, an option spread and stock hedge planning tool; and YieldCurveFitter for computing the spot and intermediate term rates imputed by a known set of yields. Subscription services provide stock prices and option market data to NillaHedge and current U.S. Treasury yields to YieldCurveFitter.

    NillaHedge's capabilities include option analytics, graphical sensitivity analysis, and spreadsheet assessments of a portfolio of positions in stocks and vanilla puts and calls. Option analytics, provided by the OptionAnalyzer, include implied volatility, elasticity, probability of closing in the money, and six Black-Scholes greeks: delta, gamma, theta, rho(r), rho(D), and vega. NillaHedge provides graphical sensitivity analysis of the options portfolio and any four options with respect to the risk free rate, the passage of time, and the underlying stock's volatility. In particular, NillaHedge's HedgeExplorer plots option values and the profitability of ratio-calendar option spreads and stock hedges across a range of underlying stock prices. The TimeDecayExplorer provides insight into how individual options and the aggregate option portfolio value behave over time, revealing surprising nuances when dividends are defined for the underlying stocks. NillaHedge uses the Present Value of dividends to compute accurate Black-Scholes option values, falling back to a continuous yield model when option value isn't analytic using PV(divs). Given an active OptionChain subscription NillaHedge's OptionChainRetriever can fetch stock price, company name, and options market data for a given stock symbol, thus eliminating manual entry. The VolatilityValueExplorer provides insight into how sensitive the options portfolio and individual option are to changes in their underlying stock’s volatility.

    BondManager's capabilities analogously include bond analytics, graphical sensitivity analysis, and spreadsheet assessments of a portfolio of positions in non-callable bonds. Bond analytics, provided by the BondAnalyzer, include current yield, yield to maturity (YTM), Macaulay duration, modified duration, convexity, market value imputed at a given DeltaYTM (change in yield), present value of par, and present value of coupons within a range of dates.

    BondManager incorporates a RateSensitivtyExplorer, PortfolioNavigator, and PositionsTranscripts capabilities. In similar fashion, NillaHedge has analogous RateSensitivityExplorer, PortfolioNavigator, and PositionTranscripts capabilities. In each case, the RateSensitivityExplorer provides a graphical comparison of the rate sensitivity of the bond or options portfolio against any four issues, bonds in BondManager, and options in NillaHedge. The PortfolioNavigator provides a folding spreadsheet view of all open positions in BondManager's bond portfolio or NillaHedge's option/stock portfolios where leaf level rows include the position purchase date, number of units, cost, market value, capital gain, dividend income (for stocks), coupon income (for bonds), net gain (capital gain + applicable income), annualized yield, exercise value (for options), and the position opening note. Issue level rows present the issue symbol, aggregate units, cost, etc. for positions in the issue, including the cost-weighted average annualized yield, and the issue description. Rows at higher levels of abstraction present aggregate values and cost-weighted annualized yields of the positions within. To simplify hand-off to income tax professionals, plain text Positions Transcripts summarize open positions or positions closed in a particular calendar year, including the position's capital gain, income, annualized yield, and opening and closing notes.

    StrategyExplorer is a spread/hedge planning tool that predefines twelve option spreads and eight stock hedges. It plots the profitability of vertical spreads and hedges based on intrinsic value, i.e. without regard for the time value of money or contributions to option value derived from the underlying stock's volatility. Vertical spreads and hedges are constructed from options which all expire on the same date. Predefined option spreads can be categorized as: bullish, bearish, neutral with low volatility, and neutral with high volatility. Bullish spreads include synthetic long stock, bull call spread, and bull put spread. Bearish spreads include synthetic short stock, bear call spread, and bear put spread. Neutral-low volatility spreads include short straddle, short strangle, butterfly call spread, and butterfly put spread. Neutral-high volatility spreads include long straddle and long strangle. Predefined stock hedges can be categorized as covered, protective, bracketed, and arbitrage, respectively including covered call, covered put; protective put, protective call; collar, fence; conversion, and reversal. This comprehensive set of two and three-legged scenarios makes StrategyExplorer particularly useful as a spread/hedge learning tool.

    YieldCurveFitter estimates the spot rate and computes intermediate yields for given points on a yield curve. Any set of yields at the supported maturities may be used as input, not necessarily being U.S. Treasuries. Any rates not provided are computed, typically meaning that the equivalent of U.S. Treasury yields at 1, 7, 15, 20, and 25 year maturities are computed, thus providing a ready comparison with non-U.S. Treasury instruments at those maturities. Given an active U.S. T-Bill Rate Subscription, YieldCurveFitter can fetch the current U.S. Treasury yields, thus eliminating manual entry of the known rate points.

    Subscription services provide U.S. T-Bill Rates to YieldCurveFitter and Option Chains to NillaHedge. Both data services are accessible through any firewall that allows access to the world wide web.

    A 32-bit Windows PC is required for installing products and subscription services to a USB connected device. Optimized builds target Pocket PC 2002, 2003 Second Edition, and Windows Mobile 5 and 6 series devices. A streamlined installer downloads only the components needed to support the connected device, thus minimizing download and installation time.

    PocketNumerix is focused on delivering hedge fund quality computational finance tools for mobile investors. For more information, please refer to content on:


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    PocketNumerix, Inc.
    Mike Landis


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