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HOME > PRODUCTS > ADD-INS > BASKET TRADER


EXPO Add-Ins

BASKETTRADER | Portfolio | Risk | Monte Carlo | ECONOMETRICS

BasketTrader provides a highly flexible medium for basket creation, testing and simulation.

BasketTrader™

As a dedicated analytical tool, BasketTrader is ideally suited to rapid, multivariate calculations of time-series data - including equities, currency and commodity linked baskets and indexed derivatives. Now supports real-time baskets. Powerful, new features include:

  • Analyze a basket's performance using:

    Volatility for each security
    Basket volatility
    Basket sensitivity
    Correlation matrix
    Last prices and returns

  • Use built-in weighting/calculation schemes, including:

    Equal dollar & Equal share
    Per-instrument
    Equal capitalization

  • Handle long and short positions
  • Cash and futures positions
  • User defined currency conversions
  • Quanto basket handling
  • User editable annualization factors for all basket volatility and return measures
  • Performance analytics (alphas, betas, Sharpe, and Traynor ratios)
  • Over 700 advanced math functions to satisfy the most demanding derivatives trader. These include:

    Series and scalar math
    Statistics and calculus
    Matrix math
    Fourier transforms
    Convolution
    Peak analysis
    Digital filters

  • Flexible basket indexing. User defined buy-in data, index base level, and index base date.
  • User controlled lookback periods/date ranges
  • Standard and exponentially weighted average calculations for volatility and correlation.
  • Periodic and cumulative basket returns with compounded cash flows.




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