Introduction:
3-in-1: COM,.NET and XML Web service part derivatives pricing framework: set contract,fix vol/price/interest models and run MC.We in addition cover: Treasury bonds,Price/Yield,Zero turn,Fixed-Interest bonds,dispatch rates/FRAs,term and Convexity. General Pricing Framework offers the following predefined Models and Contracts: Contracts: Asian Option,Binary choice,crown,Coupon bail bond,overcome,Forward Start gather option,Lookback choice,Ladder choice,Vanilla Swap,Vanilla gather Option,Zero Coupon bail bond,Barrier choice,Parisian choice,Parasian choice,dispatch and Future. Interest evaluate Models: Constant Spot Rate,Constant (in time) Yield turn,One element stochastic models (Vasicek,Black-Derman-Toy (BDT),Ho & Lee,Hull and White),II factor stochastic models (Breman & Schwartz,Fong & Vasicek,Longstaff & Schwartz),Cox-Ingersoll-Ross soundness model,Spot rate model with self-acting yield (Ho & Lee,Hull & White),Heath-Jarrow-Morton forward evaluate model,Brace-Gatarek-Musiela (BGM) LIBOR shop model. Price Models: Constant expense model,General deterministic expense model,Lognormal expense model,Poisson expense model. Volatility Models: Constant Volatility Models,indefinite Deterministic Volatility model,Hull & Edward White Stochastic model of the Variance,Hoston Stochastic Volatility likeness. Monte Carlo Princing Engine: Evaluate price estimate accordance of rights to number of iterations or maximum expected error.Evaluate the standard deviance of the price estimate,and the minimum/maximum expected expense for a given confidence level. This product in addition has the following technology aspects: 3-in-1:.mesh,COM,and XML entanglement services - 3 DLLs,3 API Docs. Extensive patron Examples (C#,VB,C++.) ADO Mediator Compatible Containers (VS 6,VS.mesh,job 97/2000/XP/2003,C++Builder,Delphi 3-2005).
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General Equity derivatives pricing framework.
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