TIPS, LLC. Releases Stand-Alone Options Module for its

SIFMA-Approved Standard Securities Calculations Software Library 

 

New York, NY (June 10, 2008) – TIPS, LLC, the recognized standard in fixed income analytics software for the financial services industry, announced today the release of a stand-alone Options module for it Standard Securities Calculations Software Library (SSC SL).  The announcement was made at the SIFMA Technology Management Conference & Exhibit in New York City.  TIPS, LLC is a subsidiary of BondDesk Group, the leading odd-lot fixed income electronic trading platform and provider of software solutions to the securities industry.

“We continue to expand the TIPS Library to provide the most accurate, consistent calculations possible in additional asset classes,” said Jan Mayle, founder of TIPS, LLC, and Senior Managing Director, BondDesk Group.  “TIPS SSC SL is the must-have tool kit for developers, quant teams, systems integrators and software development companies.”                

According to Mayle, TIPS works with SIFMA to define, create, implement and update fixed income analytics industry standards.  The new Options module is designed for market professionals and system developers throughout financial firms worldwide, ranging from first-tier global financial institutions to regional participants to buy side firms.

TIPS SSC SL Software Library acts as the calculation engine of trading systems, real time dealing systems, real time quote systems, risk management systems and many other financial systems, both front and back office.  It can be easily integrated into proprietary systems and built for virtually any platform and in any language. 

 

The new Options module features functions for pricing and sensitivity analysis of American and European options on equities, fixed income, futures, currencies and commodities. Models supported include modified Black-Scholes, Cox-Rubenstein binomial, Black, Whaley, Garman-Kohlhagen and Roll-Geske-Whaley. 

 

TIPS has established the most comprehensive support for industry standard treatments for dividends, ex-dividend dates and holding cost.  For example, with the holding cost accrual function, users can analyze options on equities, futures, bonds, foreign currencies (Garman-Kohlhagen model) and commodities.  For dividends, users have three schemes to choose from.

 

The TIPS stand-alone Option module also touts functions for calculating theoretical prices, sensitivities (The Greeks), implied volatility and three different types of historical volatilities. Greek coverage includes delta, gamma, theta, kappa, rho and vega. The functions go beyond implementing the textbook models.  For example, TIPS bin_opt function (binomial model) supports specification of separate time lines for holding cost accrual and for lattice traversal, e.g. a calendar day time line for holding cost accrual and a business day time line for underlying price movements. 

 

TIPS, LLC, the recognized standard in fixed income analytics software for the financial services industry, was founded in 1986 by Jan Mayle, author of the Standard Securities Calculations Methods book series published by SIFMA.  TIPS mission is to help the securities industry standardize the valuation and analysis of fixed income.  TIPS software is used by the nation’s leading brokerage, money management, banking, insurance firms, and regulatory bodies.  It is also the fixed income calculations engine of choice for software development companies for their financial products. Located in Summit, New Jersey, TIPS is a subsidiary of BondDesk Group, the leading odd-lot fixed income electronic trading platform and provider of software solutions to the securities industry.