Quant tools
The toolkit behind the book.
Members get a set of quantitative tools ported from the fund's research engine: option pricing, risk measures, portfolio construction and valuation models, each with the formula and a plain note on where it breaks. They are built to be used in committee, not admired.
Phase 1
Calculators
Black-Scholes-Merton option pricer
Price a European call or put from spot, strike, time, volatility, rates and dividend yield, and read off the Greeks: delta, gamma, vega, theta and rho. A chart shows how the option's value bends around the strike as spot moves, against its payoff at expiry.
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Performance statistics
Paste a column of returns or prices and get CAGR, annualised volatility, Sharpe, Sortino and maximum drawdown, computed exactly as the fund's risk report computes them.
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Value at Risk and CVaR
Historical and parametric VaR with expected shortfall at any confidence level and horizon, so a desk can say how much its book could lose on a bad day and defend the number.
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Volatility, drawdown, beta and correlation
Rolling volatility, drawdown history, and beta and correlation to a benchmark from two return series. The building blocks of every position-sizing argument.
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Efficient frontier
Mean-variance frontier with a Ledoit-Wolf shrunk covariance matrix, minimum-variance and maximum-Sharpe portfolios, and a cloud of random portfolios for scale.
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Phase 2
Series tools
Momentum formation and holding grid
Upload a price panel and scan every formation and holding period pair for cross-sectional momentum, to see whether what went up kept going up.
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Portfolio risk contribution
Which positions actually drive the book's volatility once correlations are accounted for. Often not the biggest ones.
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Market regime classifier
Label each period as trending, ranging or stressed from volatility and trend rules decided only on data available at the time.
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Phase 3
Valuation
Discounted cash flow model
Project free cash flows, build WACC from its parts, value the terminal year by Gordon growth or an exit multiple, and stress the answer with a WACC-versus-growth sensitivity table.
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Bond calculator
Price from yield and yield from price for a coupon bond, with Macaulay and modified duration and convexity, so a rates view can be sized in risk terms.
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