The Beauty of a DSL for Finance

With Theta Suite you can structure and evaluate any financial product or trading strategy faster and more accurate than ever before. Thus any exotic product or complex hedging strategy looses it´s magic.

How is this possible? 

The coding language ThetaML serves only one goal: optimally define financial products, trading strategies and evaluation models (e.g. stochastic models). It does nothing else but that! The power of this language lies in the fact that the description of the product (payoff structure), the stochastic model and the numerical implementation are separated. Each individual component is much easier to understand than a complex numerical algorithm containing all three aspects in one piece of low level computer code.

Theta Suite 3 available now

All kinds of structured financial products, especially Variable Annuities (VAs), can be described via ThetaML - the programming language for all Thetaris products including Theta Suite.



With the brand new developed Java backend ThetaML Compiler the product development of VAs will be even more simplified. Furthermore, existing VAs can easily be migrated in ThetaML, enabling a simplified data flow within server components.


In detail the ThetaML Compiler

- generates standalone Java classes (no Matlab required),

- minimalizes the initialization time,

- no re-compilation after input parameter change and

- supports simplified ThetaML language.



The second component ThetaML for Java developers offers

- full integration into Java IDE,

- full integration into Eclipse Debugging framework,

- convenient JAVA API and

- on the fly code generation.


Both components can be provided as Plug-In for the Java developer enviroment (e.g. Eclipse).


For more information, please follow the link: http://www.thetaris.com/thetasuite/

Theta Suite Release Fall 2014 is available now

Theta Suite 2.3: Concentration on speed

- A new release of Thetaris' flagship product is now available. Theta Suite allows valuation, hedging and risk management of any financial contract. The focus lies on exotic structures, especially Variable Annuities. 

For this release, besides many minor improvements, Thetaris focused on minimal initialization time and significant speed-up during aggregation processes. Furthermore the newest version of Theta Suite is now fully compatible with the Matlab 2014a. So it supports all Matlab versions since 2007b.

A new feature is the integration of a very efficient variance reduction technique. This technology allows running a simulation with only about one tenth of the scenarios while keeping the accuracy.

For more information please follow the link:  http://www.thetaris.com/thetasuite/

New Thetaris Research in Open Journal of Statistics

High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options

Author(s)

Stefan Dirnstorfer, Andreas J. Grau, Rudi Zagst

ABSTRACT

The pricing of moving window Asian option with an early exercise feature is considered a challenging problem in option pricing. The computational challenge lies in the unknown optimal exercise strategy and in the high dimensionality required for approximating the early exercise boundary. We use sparse grid basis functions in the Least Squares Monte Carlo approach to solve this “curse of dimensionality” problem. The resulting algorithm provides a general and convergent method for pricing moving window Asian options. The sparse grid technique presented in this paper can be generalized to pricing other high-dimensional, early-exercisable derivatives.

KEYWORDS

Sparse Grid; Regression; Least-Squares Monte Carlo; Moving Window Asian Option

Link

S. Dirnstorfer, A. Grau and R. Zagst, "High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options," Open Journal of Statistics, Vol. 3 No. 6, 2013, pp. 427-440. doi: 10.4236/ojs.2013.36051.

http://dx.doi.org/10.4236/ojs.2013.36051

Functions in ThetaML

Many users asked for the introduction of function call into ThetaML. Since today, we provide a test release of Theta Suite version 2.4 together with the new function syntax. Besides the usual function concept, ThetaML functions also support function handles and partial evaluation with model time sensitive default values for some parameters. You will be surprised how much this can simplify your coding.

New release: Theta Suite Spring 2013

Theta Suite Release: Excel-bridge better speed and many small improvements

Thetaris ends the wintertime and  is proud to announce  the new Theta Suite Spring 2013 release.

We focused on the full functionality of the so called "Excel bridge" which offers new possibilities to run models from Excel. Furthermore the Theta Suite Spring release improves significantly the speed of the Debugger Analysis and Evaluation Run.

For more information go to :  http://www.thetaris.com/thetasuite/

Simple and transparent usage of Monte-Carlo simulations in Excel

Thetaris releases Theta Suite XL, an innovative Monte-Carlo toolbox for Microsoft Excel

Thetaris, a world-leading provider of modeling solutions for the financial sector, supports Excel analyses based on the Monte-Carlo simulation method with its new solution Theta Suite XL. Typical weak areas of Microsoft Excel like low performance and usability during the calculation of a large number of scenarios no longer pose a problem: Theta Suite XL defines the original simulation model outside of Excel, using the simple coding language ThetaML, which has been developed especially for Monte-Carlo simulations. Via the so-called Excel-Bridge, an Excel add-in, models can be configured and evaluated outside Microsoft Excel.

ThetaML Handbook available now in print!

Stefan Dirnstorfer, Andreas J. Grau and Hongzhu Li present a comprehensive introduction into the language for financial modelling, ThetaML: "ThetaML Handbook" has arrived in stores:

If you are a customer with a valid Theta Suite license, you will receive your complementary copy in a few days.

For purchase see your local book store, or e.g.

www.amazon.de/ThetaML-Handbook-Stefan-Dirnstorfer/
www.amazon.co.uk/ThetaML-Handbook-Stefan-Dirnstorfer/

Besides a brief introduction into Theta Suite, this handbook serves a complete reference on ThetaML. The book starts with a summary of the language features, followed by a chapter on ThetaML language syntax. The ThetaML type system, interfaces and workflows are detailed in later chapters. There are many code examples to help understand the language commands and functions. Two tutorials further apply ThetaML to pricing and hedging financial contracts, especially options. The final chapter offers many tips and tricks for more efficient use of ThetaML in financial settings. All examples are ready for testing and evaluation in Theta Suite using MC Simulation.

Risk Managment: Investment Bank Solution for Asset Manager

Maintainable, transparent models replace in-house development based on Excel-VBA

Thetaris, a world-leading provider of modeling solutions for the financial sector, releases Theta Suite Portfolio Market Risk Management. This novel risk management software solution offers asset managers and small to medium sized insurance companies the flexibility and performance which so far has only been achieved with applications tailored to major financial institutions. 

Presentation: PRMIA Workshop on Variable Annuities

Great Success for the Workshop on Variable Annuities

Thank you for the large interest! The PRMIA (Professional Risk Managers' International Association) Munich Chapter meeting, took place on the 3^rd of April 2012 and has been organized by Thetaris. Variable Annuities (VAs) and their importance in the area of research and industry – this was one interesting and suspenseful aspect of the 3 presentations. After lively discussions with the three competent speakers most of participants took the opportunity to intensify the exchange of ideas and opinions during the following get together.

Janos Benk explaining the ThetaML based PDE solver FITOB