Package webcab.lib.finance.bonds.pricing
General Monte-Carlo pricing framework for a wide range of interest derivative contracts
priced in accordance with a number of price, volatility and interest rate models.
See:
Description
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Class Summary |
| InterestDerivatives |
Offers a general Monte Carlo based Derivatives Pricing Framework.
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| PricingConstants |
This enumeration class defines all constants required by the
EquityDerivatives class. |
Package webcab.lib.finance.bonds.pricing Description
General Monte-Carlo pricing framework for a wide range of interest derivative contracts
priced in accordance with a number of price, volatility and interest rate models.
Functionality Overview
General Pricing Framework offers the following predefined Models and Contracts:
- Contracts: Asian Option, Binary Option, Cap, Coupon Bond, Floor, Forward Start stock option,
Lookback Option, Ladder Option, Vanilla Swap, Vanilla Stock Option, Zero Coupon Bond, Barrier Option,
Parisian Option, Parasian Option, Forward and Future.
- Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve,
One factor stochastic models (Vasicek, Black-Derman-Toty (BDT), Ho & Lee, Hull and White),
Two factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz),
Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield (Ho & Lee, Hull & White),
Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model.
- Price Models: Constant price model, General deterministic price model,
Lognormal price model, Poisson price model.
- Volatility Models: Constant Volatility Models, General Deterministic Volatility model,
Hull & White Stochastic model of the Variance, Hoston Stochastic Volatility model.
Once the contract and the price/interest/vol model combination has been set you
able to run the Monte Carlo Princing Engine which allows:
- Evaluate Price: Evaluate price estimate accordance to number of iterations or maximum expected error
- Estimate Error: Evaluate the standard deviation of the price estimate, and the minimum/maximum expected
price for a given confidence level.
- Get Intermediate Results: Read off the intermediate results which where found during each of the Monte Carlo simulations.