nds (J2EE
Downloads:
Publisher: WebCab Components
File size: J2EE Edition
OS: Windows Vista, 2003, XP, 2000, 98, Me, NT,Unix
Date added: 2009-10-27
Homepage: http://www.webcabcomponents.com
Category: Business
nds (J2EE Description
"General Interest Derivatives Pricing Framework"
Edit By BS Editor: General Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. We also cover: Treasury's, Price/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity.
WebCab Bonds implements the following functionality:
General Interest 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-Toy (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. you can free download WebCab Bonds (J2EE Edition) 2.01 now.
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