VaRworks performs the following portfolio calculations: Cash flow shredding and mapping Diversified and undiversified analytic VaR Stress Testing Monte Carlo VaR Historical VaR Extreme-Value Theory VaRdelta and candidate trade incremental VaR Component VaR VaRworks supports the following instruments: Equities Interest Rates Cash Futures Options Average-Price Options Options and Exotic Options: Asian Dual Barrier Best-Of Calendar Spread Forward-Starting Spread   Caps and Floors Barrier Caps and Floors Money-Market Instruments FRNs FRAs Repos Eurocurrency Futures Eurocurrency Futures Options Interest-Rate and Currency Swaps Interest-Rate and Currency Swaptions Bonds Currencies and Commodities Zeros Coupons Odd-Coupons When-Issued Callable Amortizing Brady Bonds Forwards Futures Futures Options Options   Spot/Physicals Forwards Futures Swaps Index Swaps Differential Swaps Index Swap Options Options and Exotic Options: Asian Dual Barrier Best-Of Calendar Spread Crack Forward-Starting Spread Swing                         View the VaRworks product profile.