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Vanilla Options

Vanilla Options functions deal with the valuation and risk management of vanilla options. Features include the ability to:

  • Value options written on stocks, currency, and commodities.
  • Value European, Bermudan, and American Options.
  • Determine the full range of option sensitivities ("Greeks").
  • Value the implied volatility, implied spot, and implied strike for all options.
  • Value warrants and executive stock options.
  • Incorporate discrete and continuous dividends.

 

Bond Pricing

Bond Pricing functions provide the valuation and risk management for a wide range of debt securities, including at least 20 sovereign issues, discount securities, floating rate notes, and money market instruments. Features include the ability to:

  • Price corporate and Government bonds.
  • Price instruments with exact or equal coupon payments.
  • Price instruments with amortizing and accreting face values.
  • Calculate equivalent yields for all bond types.
  • Incorporate a number of valuation approaches for standard FRN's.
  • Determine the full set of risk measures.

 

Swap Pricing

Swap Pricing functions support the valuation and risk management of interest rate swaps, commodity swaps, and cross currency swaps. Swap Pricing also includes a model for constructing an integrated zero curve based on input cash rates, futures prices and swap rates. Features include the ability to:

  • Price interest rate swaps, commodity swaps, and cross-currency swaps.
  • Price swaps with amortizing and accreting notionals.
  • Compute par swap rates.
  • Zero curve construction based on a range of possible inputs.
  • Several interpolation methods supported.
  • Price a generic bond using the constructed zero curve.
  • Generate projected coupon payments, or enter a customized deal.

 

IRO Options

IRO options functions deal with the valuation and risk management for a wide range of interest rate options. These include the simple closed-form models for FRA's, caps and floors, and European bond options and swaptions, as well as term structure models for Bermudan/American swaptions, bond options, and callable bonds. IRO options also includes an integrated zero curve model. Other features include the ability to:

  • Value normal and log-normal term structure models, with a provision for mean reversion.
  • Value European caps, floors, and swaptions, using either the adjusted Black model or a term structure model.
  • Value American and Bermudan options using term structure models implemented in a stable and efficient trinomial tree.
  • Calibrate the chosen term structure model to market data.

 

Exotics Options

Exotics options functions consider the valuation and risk management of a wide range of exotic options, which are listed below:

  • Asian options
  • Single barrier and double barrier options
  • Digital (binary) options
  • Digital barrier options
  • Chooser options
  • Lookback options
  • Extendible options
  • Options on multiple assets
  • Spread options

 

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