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.