Monis Analyzer: Market-Leading Analytics

Convertible arbitrage traders need leading-edge analytics in order to evaluate trading opportunities and manage their positions. Analyzer fully exploits the capabilities of Monis' industry-standard convertible bond model, now being used by over 400 organizations.

Model Highlights:

  • Optimized trinominal trees with up to three stochastic factors, for equity, default risk and interest rate.
  • Advanced PDE solution with increased stability for Greeks.
  • Time steps of variable length enable much more accurate valuation of the many contractual cash flows and dates, and correctly take account of closely sequential events.
  • Hull-White model of stochastic interest rates, complete with calibration tools for IR Volatility and Mean Reversion.
  • Flexible yield curve handling including choice of treasury and swap curves.
  • Structured dividend options, including continous dividend yield, absolute dividends with growth, proportional yield, and dividend loss.
  • Optional term structure of equity volatility, plus "dual volatility" model for mandatories.
  • PDE grid returns multiple results for different stock levels for single run.

Model Outputs: 

The intuitive interface of Analyzer enables users to generate a wide range of market standard outputs with little effort. These outputs may be viewed in the portfolio grid, or in the Convertible Bond Quick Pricer. The smart design of the Quick Pricer allows easy data entry, what-of analysis and rapid generation of results.

The most important model outputs include:

  • Fair value
  • Implied volatility
  • Implied credit spread

Greeks (all of which are available in a number of formats and scalings):

  • Traditional Greeks: Delta, Gamma, Vega, Rho, Theta, Phi
  • Credit Greeks: Omicron (credit spread) and Upsilon (recovery rate), on both normalized and contract (whole instrument) bases
  • Chi (sensitivity to the FX rate for cross-currency bonds)

Other model outputs include:

  • Parity and premium measures
  • Current accreted value
  • Running yield and yield advantages
  • OAS, duration and convexity to next put date and to maturity
  • Yield to maturity, call and put
  • Call protecton indicator
  • Break-even
  • Risk-neutral probabilities and fugit (expected life)

The model also includes linear approximation measures like dollar nuke values.