| Strategy Builder | SPY, QQQ, AAPL, NVDA, TSLA, or any ticker — type a symbol and its price (with the optional data proxy running, any US ticker loads with a live quote, listed expirations and chain strikes). Spot, volatility, rate and dividend-yield inputs, and an arbitrage-free SSVI volatility surface: a smile by strike (flat, equity index, single stock, or custom skew and curvature) and an at-the-money term structure by expiry (flat, upward, inverted or custom) — with live data, fitted to a spread of listed expiries in one step. Nine presets (long/short call and put, straddle, strangle, bull call spread, bear put spread, iron condor) or up to eight custom legs with call/put, buy/sell, strike, quantity, expiry and entry premium — each leg shows the implied volatility of its entry premium. |
| Greeks & payoff | Price, Δ, Γ, Θ, ν and P&L tiles; exact max profit / max loss and break-evens; an interactive payoff chart with P&L · Δ · Γ · Vega · Θ modes (hover or keyboard crosshair); a full-revaluation spot × vol P&L surface. |
| Pricing Models Lab | The same portfolio priced with Black-Scholes-Merton, a 512-step Cox-Ross-Rubinstein lattice and seeded Monte Carlo at 10k / 50k / 200k paths — difference vs Black-Scholes, standard error, 95% interval, |z| and timing, with a convergence chart, the lattice's odd/even error curve, a per-leg breakdown and the American early-exercise premium from the same lattice — and, by finite differences in C++, each leg's American value under the volatility surface's local volatility against its implied volatility, with the early-exercise boundary and a Longstaff–Schwartz Monte Carlo check of it. A C++ cross-check simulates the whole portfolio — on the native engine when it is running, otherwise in WebAssembly — and, with a smile or term structure, a local-volatility Monte Carlo reprices it under Dupire's diffusion. |
| Monte Carlo | Animated risk-neutral paths — GBM in a flat market, Dupire local volatility when a smile or term structure is on — with spot, strike, expiry and in-the-money markers; a 50,000-sample terminal distribution against its analytic lognormal or smile-implied density; simulated P(ITM) vs the analytic value; local against implied volatility across strikes. |
| Exotics | Barrier options (down- and up-and-out, knock-in by parity), monitored continuously or on a monthly, weekly or daily schedule and optionally paying a rebate at the hit or at expiry, and arithmetic and geometric Asian options on the terminal's market. Reiner–Rubinstein and geometric-average closed forms under flat volatility, with the Broadie–Glasserman–Kou correction when the barrier is monitored on a schedule and Reiner–Rubinstein's E and F terms when it pays a rebate — the two corrections do not compose, and the panel says so rather than showing a reference it cannot compute; the C++ Monte Carlo kernel — Brownian-bridge monitoring, or an indicator on those same dates, up to 16 barrier levels on the same paths — under that volatility as a check, and under the surface's Dupire local volatility, with the vanilla on the same paths as a repricing check, and barriers also solved as a PDE (a second method, with its Greeks). A knock-out-vs-barrier chart, the geometric control variate for arithmetic averages and fine-grid bias estimates; on the native engine or in WebAssembly. |
| Stress Lab | 2008-style credit crisis, COVID-style crash, volatility spike, rate shock, melt-up / vol crush, or a custom shock. Shows Spot → Vol → Greeks → P&L → VaR, P&L by leg, a P&L-vs-spot ladder and all scenarios side by side; apply a shock to the whole terminal and reset. |
| Risk / VaR | 1-day 95% parametric VaR, plus delta-normal, delta-gamma and Monte Carlo full-revaluation VaR — spot only, and spot with correlated implied-vol shocks — with expected shortfall at 90 / 95 / 99% over 1 / 5 / 10 days, exposures and stated assumptions. |
| Portfolio Upload | CSV, XLSX or XLS, parsed entirely in the browser. Tolerant column names (option_type, cp, action, strike_price, dte, expiration, contracts, fill_price, …), ISO / US / Excel dates, accounting negatives, a row-by-row preview with errors and warnings, and downloadable samples. |
| C++ Engine | The C++ core compiled to WebAssembly runs in every browser: build facts, agreement with the TypeScript models and Monte Carlo in a worker. The native engine adds live status, measured round-trip latency, engine-vs-browser agreement and 100k–10M-path Monte Carlo on Metal. Every tile says which engine produced the number and why. |
