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WebCab Bonds for .NET
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Version
2
3-in-1: COM, .NET and XML Web service Interest
derivatives pricing framework: set contract, set
vol/price/interest models and run MC. We also cover:
Treasury bonds, Price/Yield, Zero Curve, Fixed-
Interest bonds, Forward rates/FRAs, Duration and
Convexity.
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.
Monte Carlo Princing Engine: Evaluate price estimate
accordance to number of iterations or maximum expected
error. Evaluate the standard deviation of the price
estimate, and the minimum/maximum expected price for a
given confidence level.
This product also has the following technology
aspects:
3-in-1: .NET, COM, and XML Web services - 3 DLLs, 3
API Docs,...
Extensive Client Examples (C#, VB, C++,...)
ADO Mediator
Compatible Containers (VS 6, VS.NET, Office
97/2000/XP/2003, C++Builder, Delphi 3-2005)
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