WebCab Options (J2SE Edition) 3.3 Download

WebCab Options (J2SE Edition) 3.3 Description

"General Equity derivatives pricing framework."

Editor: 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.

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. you can free download WebCab Options (J2SE Edition) 3.3 now.

WebCab Options (J2SE Edition) 3.3 Keywords

webcab, j2se

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