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Vanilla Options Naming Conventions

Function Group

Description

.

BAW

Barone-Adesi Whaley option pricing model

BIN

Binomial option pricing model - Cox Ross & Rubinstein

BLACK

Black's futures option pricing model

BS

Black Scholes option pricing model

BSw

Black Scholes warrant pricing model

GBS

Generalized Black Scholes option pricing model

GK

Garman Kohlhagen currency option pricing model

RGW

Roll Geske Whaley option pricing model



Suffix

Description

.

IF

Implied forward price

IS

Implied spot price

IV

Implied volatility

IX

Implied Strike

 

 

Bond Pricing Naming Conventions

Function Group

Description

.

Bond

Bond or debt instrument

FRN

Floating Rate Note

MM

Money Market



Suffix

Description

.

CFM

Cash flow map

Dates

Dates

DM

Discount Margin

DR

Discount Rate

Price

Price of the instrument

Yield

Yield of the instrument

Swap Pricing Naming Conventions

Function Group

Description

.

SWPccy

Currency Swap.

SWPcmd

Commodity Swap.

SWPir

Interest Rate Swap.



Suffix

Description

.

CFM_FL

Cash Flow Map for the Floating Leg of the instrument.

CFM_FX

Cash Flow Map for the Fixed Leg of the instrument.

Dates

Date map for the instrument

Price

Price of the instrument

Price_FL

Price of the instrument's floating leg.

Price_FX

Price of the instrument's fixed leg.

 

 

Exotic Pricing Naming Conventions

Function Group

Description

.

X_

Exotic Pricing function



Suffix

Description

.

Asian

Asian option pricing. Name is suffixed by pricing model.

_TW : Turnbull-Wakeman (1991) approximation.

_Levy : Levy's (1992) approximation

_Curran : Curran's (1992) approximation.

Barrier

Calculates the fair value and Greeks for a standard barrier option.

Chooser

Calculates the fair value and Greeks for a chooser option. Name is suffixed by either:

_Cmplx : For Complex chooser option

_Smpl : Simpler Chooser option

EquityLinkedForEx

Value a Equity-linked foreign-exchange option.

Exchange

Values an American- or European-exercised asset exchange call option

ExecStockOptn

Values an executive stock option.

Extendible

Values a writer or holder extendible option

ExtremeSpread

Values an extreme spread option

ForeignEquity

Values an option on a foreign equity

ForwardStart

Values a Forward start option

FuturesSpread

Valuse a European futures spread option

Look_FX_Strike

Values a fixed-strike lookback option

Look_FL_Strike

Values a floating-strike lookback option

MinMax

Values an option on the maximum or minimum of two assets

OptionOnOption

Values an Option on an option

Quanto

Values a fixed exchange-rate foreign-equity option (quanto)

Ratchet

Values a Rachet option

TakeOverForEx

Values a takeover foreign-exchange call

TimeSwitch

Values a Time Switch option

TwoAssetCorrelation

Valuse a Two asset correlation

DoubleBarrier

Values a Double barrier option

SoftBarrier

Values a Soft barrier option

AdjustBarrier

Values a Adjust barrier option

LookBarrier

Values a Look barrier option

Gap

Values a Gap option

Binary

Values a Cash-or-nothing option

TwoAssetCashOrNothing

Values a Two asset cash-or-nothing option

Supershare

Values a Supershare option

BinaryBarrier

Values a binary barrier option

Extendible

Calculates the value of a holder- or writer-extendible option

Lookback

Calculates the value of a lookback option. Name is suffixed by either:

_FXStrike : for a fixed-strike lookback

_FLStrike : for a floating-strike lookback

_Imp

Given the option value, calculates an implied value

IRO Options Naming Conventions

Function Group

Description

.

IRcap

Interest Rate Cap, FLoor, or Collar.

IRswpn

Interest Rate Swaption (European).

IRswpn

Interest Rate Swaption (Bermudan).

IRvmswap

Interest Rate Variable Maturity Swap.

IRbondOption

Interest Rate Bond Option

IRcallPutBond

Interest Rate Callable or Puttable Bond.



Suffix

Description

.

CFM

Cash Flow Map for the instrument.

Dates

Date map for the instrument

Price

Price of the instrument

IV

Implied Volatility for the instrument.

Map

Cashflow map for the (swaption) instrument.

ZCC

Zero Cost Collar.

BDT1

Black-Derman-Toy term structure tree model.

BDT2

Black-Derman-Toy term structure tree model.

HL

Ho and Lee term structure tree model.

HW

Hull and White term structure tree model.

BK

Black and Karasinski term structure tree model.

 

 

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