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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; inflation 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
  • HullWhite for HullWhite model

  • Black for Black model

  • Normal for Normal model

  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

Floor
  • HullWhite for HullWhite model

  • Black for Black model

  • Normal for Normal model

  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

Swaption
FixedBondOption
  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

OptionEmbeddedFixedBond
  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

OptionEmbeddedFloatBond
  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

Swap
FixedBond
  • Discount

  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

FloatBond
  • Discount

  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

FloatBondOption
  • Discount

  • IRTree for HullWhite or BlackKarasinski models

  • IRMonteCarlo for HullWhite, BraceGatarekMusiela, SABRBraceGatarekMusiela, or LinearGaussian2F models

ConvertibleBond
DepositUse a ratecurve object.
FRAUse a ratecurve object.
OvernightIndexedSwapUse a ratecurve object.
STIRFutureUse a ratecurve object.
OISFutureUse a ratecurve object.
BondFutureUse a ratecurve object.

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

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

Equity, Commodity, FX Instrument TypeAvailable ModelsAvailable Pricers
Asian
  • Levy for BlackScholes model

  • AssetTree for a Cox-Ross-Rubinstein (CRR), equal-probability (EQP), Leisen-Reimer (LR), or Standard Trinomial (ST) lattice tree using a BlackScholes model

  • KemnaVorst for BlackScholes model

  • TurnbullWakeman or BlackScholes model

  • AssetMonteCarlo for BlackScholes, Heston, Merton, Bates models

Barrier
  • BlackScholes for BlackScholes model

  • AssetTree for a Cox-Ross-Rubinstein (CRR), equal-probability (EQP), Leisen-Reimer (LR), or Standard Trinomial (ST) lattice tree using a BlackScholes model

  • VannaVolga for BlackScholes model

  • FiniteDifference for BlackScholes, Heston, Merton, Bates models

  • AssetMonteCarlo for BlackScholes, Heston, Merton, Bates models

DoubleBarrier
Lookback
  • ConzeViswanathan for BlackScholes model

  • AssetTree for a Cox-Ross-Rubinstein (CRR), equal-probability (EQP), Leisen-Reimer (LR), or Standard Trinomial (ST) lattice tree using a BlackScholes model

  • GoldmanSosinGatto for BlackScholes model

  • AssetMonteCarlo for BlackScholes, Heston, Merton, Bates models

PartialLookback
Spread For BlackScholes model:For Bachelier model:
VarianceSwap For ratecurve object:For Heston model:
Vanilla For BlackScholes model:

For Heston model:

For Merton model:

For Bates model:

For Dupire model:

For Bachelier model:

Touch
DoubleTouch
Cliquet
Binary
CommodityFutureUse a ratecurve object.
FXFutureUse a ratecurve object.
EquityIndexFutureUse a ratecurve object.
ConvertibleBond

Inflation Instruments with Associated Models and Pricers

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

Inflation Instrument TypeAvailable ModelsAvailable Pricers
InflationBondUse an inflationcurve object and a ratecurve object.
YearYearInflationSwapUse an inflationcurve object and a ratecurve object.
ZeroCouponInflationSwapUse an inflationcurve object and a ratecurve object.

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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