ASC 815 Solutions

The consultants at Montgomery Investment Technology, Inc. have the expertise to assist our customers in valuing standard and “alternative” (non-standard) option contracts. Option pricing is complex but we can provide the tools and technical support to simplify the valuation process.

ASC 815 (FAS 133) of the Financial Accounting Standards Board details the accounting practices required for the reporting of a derivative product on financial statements. Under this Statement, derivatives are recognized as:

  • A hedge of the exposure in changes of a firm’s asset or liability
  • A hedge of the exposure to variable cash flows
  • A hedge of a foreign currency exposure

The statement establishes the practices that are to be used for reporting hedge gains and losses on a fair value basis.

Montgomery Investment Technology, Inc. offers a line of option-pricing models as add-ins for popular spreadsheet and database software packages, including:

 

OPTIONS XL

  • Black-Scholes
  • Binomial
  • Whaley
  • Flexible Binomial
  • Constant Elasticity of Variance (CEV)
  • Jump-Diffusion
  • Gram-Charlier
  • Broadie-Detemple American

EXOTICS XL

  • Asian options
  • Options with indexed exercise
  • (“out-performance”) or spread options
  • Lookback options
  • Options with stepped exercise prices
  • Barrier (knock-out or knock-in) options
  • Compound options

RISK XL and UTILITY XL

  • VaR Equities anf Futures
  • Historical Price Volatility
  • eGARCH
  • Monte Carlo simulation
  • Efficient Frontier
  • Advanced analysis of price changes
  • Foreign exchange functions
  • Forwards and futures contracts

We provide mark-to-market accounting for derivative instruments that need to be valued on a quarterly basis including:

  • Warrants
  • Options
  • Exotic instruments
  • Documentation regarding these models and their application is provided.
  • Developer tools providing the above functions are available in the following enviroments:
    Excel VBA, Access VBA, Visual Basic, C++, .NET
  • Custom application development is available upon request.

Learn about our solutions for valuing standard and alternative option contracts.