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Choose Instruments, Models, and Pricers

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate instruments; equity, commodity, or FX instruments; or credit derivative instruments.

Interest-Rate Instruments with Associated Models and Pricers

The following table lists the interest-rate instrument objects with models and pricers.

Interest-Rate Instrument TypeAvailable ModelsAvailable Pricers
Cap
Floor
Swaption
FixedBondOption
  • IRTree for HullWhite or BlackKarasinski models

OptionEmbeddedFixedBond
  • IRTree for HullWhite or BlackKarasinski models

OptionEmbeddedFloatBond
  • IRTree for HullWhite or BlackKarasinski models

Swap
FixedBond
FloatBond
FloatBondOption
DepositUse a ratecurve object.
FRAUse a ratecurve object.

Equity, Commodity, and FX Instruments with Associated Models and Pricers

The following table lists the equity, commodity, FX instrument objects with models and pricers.

Equity, Commodity, FX Instrument TypeAvailable ModelsAvailable Pricers
Asian
Barrier
DoubleBarrier
Lookback
SpreadBlackScholes
VarianceSwap For ratecurve object:For Heston model:
Vanilla For BlackScholes model:

For Heston model:

For Merton model:

For Bates model:

For Dupire model:

Touch
DoubleTouch
Binary

Credit Derivative Instruments with Associated Models and Pricers

The following table lists the credit derivative instrument objects with models and pricers.

Credit Derivative Instrument TypeAvailable ModelsAvailable Pricers
CDSUse a defprobcurve object and a ratecurve object.
CDSOptionCDSBlack

See Also

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