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 BlackKarasinki models

OptionEmbeddedFixedBond
  • IRTree for HullWhite or BlackKarasinki models

SwapUse a ratecurve object.
FixedBond
FloatBond
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.

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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