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
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
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
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.
