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.