Using TachVault Pricing Engine - Part I

1. Getting Started with Web
Service API – Part I

2. Outline
 TachVault Pricing Engine
 Our SaaS platform
 Options valuation with Web GUI

3. TachVault Pricing Engine
 Asset Classes supported (In Free
Trial)
◦ Equity (~8000 US and Canadian stocks)
◦ Futures (COMEX/NYMEX traded)
◦ FOREX (US/Canadian)

4. TachVault Pricing Engine
 Option types supported (In Free Trial)
◦ Plain Vanilla (American/European)
◦ Option spreads
◦ Exotic options (Asian, Barrier, Chooser,
Look Back etc.)

5. TachVault Pricing Engine
 SaaS Web Service model
◦ Much cheaper than in-house development or
licensing
◦ Future pricing based on tiered subscription
◦ TachVault is responsible for upgrades, uptime
and security
◦ Integration and scalability
 You can easily integrate with in-house modeling
tools
 Scalable to support unlimited concurrent requests
and only limited by cloud infrastructure
◦ Work anywhere.

6. TachVault Pricing Engine
 Our SaaS platform
◦ Based on RESTful web services
◦ Can be integrated from any tools and third
party software
◦ Follows simple syntax widely used by
most popular SaaS platforms
 Syntax tab documents the SaaS request syntax

7. Value options with Web GUI
 Target users
◦ Option traders/investors with the need for
portable option valuation application
based on *real-time market data
 * ~15 min delayed market data for equity and
FX in Free Trial
 * Futures options are based on previous day
settlement prices in Free Trial

8. Value options with Web GUI
 Key features
◦ Can be accessed from any computing device
connected to the Internet
◦ Provided with Catalog of option pricing
request templates
◦ Request templates can be customized,
added to user collections and accessed from
anywhere
 Ex: Call option request for Apple Inc. can be
created from equity vanilla option template
◦ Stores history of requests in local browser
storage

9. Value options with Web GUI
 Default Catalogs

10. Value options with Web GUI
 Default Catalogs
◦ Lists asset classes and option types
supported in Free Trial
◦ Lists option valuation requests for each
asset class/option type supported as
templates
◦ Click on the template request shows
possible lists of parameters and allowed
values

11. Value options with Web GUI
 Default Catalogs

12. Value options with Web GUI
 Selected request parameters (not
obvious)
◦ _rateType: Allows a user to specify preferred
“risk-free” rate used in valuation
 LIBOR or fed rate
◦ _volType: Allows a user to select the type of
volatility modeling
 Implied volatility (based on previous days historical
option prices)
 Historical volatility (GARCH)
◦ _vol: Allows user to specify a constant
volatility used in valuation (override value)

13. Value options with Web GUI
 Selected request parameters (not
obvious)
◦ _method: Allows a user to specify option
valuation method
 Closed analytical, Binomial or Monte-Carlo
◦ _legs: Allows a user specify legs of an option
spread
 Syntax: (leg), (leg), (leg)….
 Ex: Butterfly spread legs
(_position=long,_option=call,_strike=145,_maturity=2015/11/20),(_position=long,_option
=call,_strike=165,_maturity=2015/11/20),(_position=short,_option=call,_strike=ATM,_m
aturity=2015/11/20),(_position=short,_option=call,_strike=ATM,_maturity=2015/11/20)

14. Value options with Web GUI
 User collections
◦ User collections allows users to organize
and store preferred option requests
◦ User collections are stored with user
profile in the TachVault web server. Thus
can be accessed from anywhere
◦ Users can:
 Create a new collection
 Ex: Financial equities, Tech sector equities…
 Add frequently exercised option requests to
chosen collections

15. Value options with Web GUI
 User collections

16. Value options with Web GUI
 Option valuation requests
◦ Requests can be added to collections
◦ Requests can be modified and saved
◦ One can send a request for option
valuation from any computing device on
the Internet
◦ Valuation output:
 Shown in human readable text formatted with
JSON syntax.

17. Value options with Web GUI
 Option valuation response
◦ Response body shows:
 Greeks
 Option price
 Underlying asset price (stock, futures, FX)
 Underlying trade date

18. Coming up..
 Part II of Getting Started series will
explain integration of TachVault web
services API with Excel/VBA.