Program Name: Options and Futures for .NET
Published By: webcabcomponents.com
License Type: Freeware
Date Released: January 24, 2012
Options and Futures for .NET v1.0
Options and Futures for .NET Desciption:
Price a broad range of option and futures contracts using a range of price/vol/interest rate models. Includes in addition to the general pricing framework a detailed Black-Scholes-Merton Model API (including Greeks and implied volatility) for European, Asian, American, Lookback, Bermuda and Binary Options using Analytic, Monte Carlo and Finite Difference techniques.We also offer a flexible implementation of a binomial and trinomial trees based pricing engine for the evaluation of employee options in accordance within the Enhanced FASB 123 model and a module allowing the evaluation of the Value-at-Risk (VaR) of an investment portfolio in accordance with the Linear model.Product DetailsWebCab Options and Future implements the following functionality:General Equity Derivatives Pricing Framework
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 Pricing 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. Exotic Options Module
The Exotic Options module implements the following functionality: - Types of Options - Within this module we show explicitly how-to and offer practical advice on the valuation of Asian, American (single and multi-asset), Lookback, Bermuda, European (single and multi asset) and binary options using the Monte Carlo and Finite Difference techniques. - Finite Difference Methods - powerful method for finding solutions of the Black-Scholes Equations.
- Single Asset Options - We provide an explicit and fully implicit algorithms including a framework in which to measure stability issues under differing scenarios. - Crank-Nicholson - is a fast and stable method for evaluating single asset option contracts. - Multi-Asset - Implement a general multidimensional finite-difference algorithm. - American, Bermuda Options Modification - we apply the Successive Over-relaxation technique in order to value American and Bermuda options. - Asian and Lookback - examples of how strongly path dependent options can be evaluated using Finite Difference methods is given. - Greeks of Exotic Options - Evaluation of the Greeks (i.e. Delta, Gamma, Theta, Vega and Rho) of Asian, Lookback and Binary (aka digital) Options using a finite differencing approach. - Implied Volatility - Evaluate the implied volatility of a number of Exotic options including American, Asian, Lookback and Binary in accordance with the Black-Scholes model.
Monte Carlo - can be effectively applied to value a large range of option contracts. -
- Flow implementation - including generation of normal variables and the simulation of the random walk and corresponding cash flows ensures that our implementation of this technique can be applied to value almost any option contract. - Options on many underlying assets - Generate correlation random variable using Cholesky factorization in order to value options contract of European type which depend on many underlying assets. - Control Structure - the user has full control over the number of simulations and/or the required precision. Trees Module
The Trees module implements the following functionality: - Employee Options - A binomial and trinomial trees based pricing engine for the evaluation of employee options in accordance within the Enhanced FASB 123 model as detailed within the paper, 'How to value Employee Stock Options', by John Hull and Alan White (September 2002). - Volatility models - Constant volatility model, and determinist volatility models provided by using interpolation points or user define function of time. - Interest Rate Models - Constant interest rate model or Yield Curve Model deduced from bond prices, forward rates, zero rates, forward rate curve can be used.
License: Freeware | Downloads (57)
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