Welcome To Windex Pricer
For Options Pricing and Risk Management
Windex Pricer is a calculator that allows you to analyse portfolios of options on
indexes, currencies and shares. As instruments are added to the portfolio the
prices and the Greeks are calculated for various market conditions. By changing
these conditions the behaviour of the portfolio is modelled. Windex Pricer can
also generate tabulated results such as payoffs or plot them. It uses a complex
but fast binomial pricing model that evaluates market paths over 1000s of
iterations per instrument.
Use it now for free!
Download the full version for Windows
To remove an occasional prompt then please purchase a licence and support further development
For questions or comments please use our contact page
Tutorial
Market

 Enter 'market' to view the current market parameters.

 Level  The current level of the underlying index, stock or currency exchange rate
 Vol  The annualised volatility of the underlying
 Rate  The riskfree cash interest rate
 DivYld  The annualised dividend yield of the index or stock (for currencies use the foreign riskfree rate)
 Time  The analysis time to the nearest minute
 Trading  A measurement scheme for calculating time to expiry in years

 Type 'set' followed by a market parameter and then the new value to change the market. These are 'level', 'vol', 'rate', divyld', 'date' and 'time'
 Volatility and Rate are interpreted as percentages
 Date is in the form ddmmmyy. eg 22sep07
 If the date year is omitted then the current year is used
 Time is in the form hh::mm eg 14:31
 There is a special command 'set realtime' that lets the date and time vary as the real time changes
 There are two trading schedules available
 Continuous  Counts all minutes between two times
 LSE  Counts only weekday minutes between 8:00 and 16:30


Instruments 
 To add an instrument to the portfolio use the 'add' command.
 To view the instruments type 'list'.
 To remove an instrument use the 'del' command followed by the instrument number.

 The quantity appears as the second argument with a sign attached eg '+2', '7' etc
 If the quantity is missing it is assumed to be '+1'
 The third argument is the instrument name expressed as a strike and instrument character code. The following are allowed where X is the strike and S the underlying level.
 'C'  Call option pays max(SX,0)
 'P'  Put option pays max(XS,0)
 'F'  Future pays SX
 'U'  Digital Up pays 100 if S > X otherwise nothing
 'D'  Digital Down pays 100 if S < X otherwise nothing
 Then add the expiry date in same the form as the market parameter eg ddmmmyy
 the year may be omitted as with 'set date'
 The time can be optionally added by appending @hh:mm eg '@16:30'
 If it is missing then 23:59 is assumed

Metrics

 There are a number of calculations that can be performed.
 Enter the name and the result is displayed. eg 'price' will return the total portfolio price
 To value an individual instrument append it's number eg 'price[2]' will return the price of the second instrument
 The available metrics are:
 Price  The theoretical riskneutral price
 Delta  Price difference using market level +0.5 and 0.5
 Gamma  Delta difference from using market level +0.5 and 0.5
 Theta  Price difference using market date +1 day and current
 Vega  Price difference using market volatility +0.5% and 0.5%
 Rho  Price difference using market rate +0.5% and 0.5%

 Calculations apply to the whole portfolio or individual instruments
 To view the results across the whole portfolio use the 'list' command with a metric as a second argument eg 'list price'

Whatif Analysis 
 View multiple whatif scenarios by looping over market parameters

 For any of the nontime market parameters a loop is created using the 'for' command
 The first argument is the market parameter to vary
 The second argument the initial value
 The third argument in a 'to' clause is the final value
 An optional 'step' clause can be added to determine the size of each step. If it is omitted the steps are set as one tenth of the total range
 After a ':' (colon) enter the metric to display as above either for the whole portfolio or an individual instrument
 As with 'set' for 'vol' and 'rate' all values are assumed to be percentages

Charts 
Using the same syntax as 'for' but replacing 'for' by 'plot' generates a line chart of the data
 For this to work you must install GnuPlot for windows and set an environment variable 'GNUPLOT_ROOT' to the install location (ie above the 'bin' directory) eg c:\gnuplot
 GnuPlot can be found here http://www.gnuplot.info. Make sure you download a win32 binary package
 To add the environment variable:
 Right click 'My computer'
 Select 'Properties'
 Go to the 'Advanced' tab
 Click 'Environment Variables'
 Add a new variable to either section


Implied Volatilities 
 Implied volatilities can be deduced

 Using the 'implvol' command the market volatility that would have to be used to give the observed price is calculated
 The second argument is the observed price
 To calculate the implied volatility of an individual instrument use 'implvol[n]' where n is the instrument number

Volatility Smiles 
 Smiles can be added as a quadratic on top of the atthemoney market volatility
 The first parameter is the atthemoney strike. It appears as '' if the current market level is to be used
 To set the current market level as the fixed base strike type 'set stickystrike'
 To allows the base strike to move with the market type 'set stickydelta'
 The second parameter is the skew and the third the convexity
 The volatility used at a given strike is as below with S the instrument strike and S0 the base strike defined whether sticky strike or sticky delta is used
vol + skew * (S  S0) + convexity * (S  S0)^2
 To calibrate type 'calibrate' followed by a list of market prices for each instrument on the portfolio. The position size of the instruments is taken in to account during calibration which proceeds as a leastsquares quadratic fit of the implied volalities
 The implied volatilies are listed and their variation from the current market volatility
 The atthemoney market volatility will also be updated


Comments
 A riskneutral binomial tree is used to price any instrument using 1000 steps until expiry. The jump at each step is exp(+/ sigma*sqrt(dt) ).
 I don't accept any liability for losses incurred through the use of this software but it was written with a great deal of care and attention to accuracy.
 Enjoy and tell me about it!
Links
For those of you interested in Option trading and pricing the following links may prove useful