API

AmericanOption(s, k, r, σ, t, call)

American option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• σ: volatility
• t: time to expiration
• call: true if call, false if put

AsianOption(s, k, r, σ, t, call)

Asian option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• σ: volatility
• t: time to expiration
• call: true if call, false if put

EuropeanOption(s, k, r, σ, t, call)

European option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• q: dividend yield
• σ: volatility
• t: time to expiration
• call: true if call, false if put

FXOption(s, k, r_d, r_f, σ, t, call)

Foreign exchange option.

Arguments

• s: underlying price
• k: strike price
• r_d: domestic risk-free interest rate
• r_f: foreign risk-free interest rate
• σ: volatility
• t: time to expiration
• call: true if call, false if put

InterestRateDerivative(k, r, σ, θ, t)

Interest rate derivative.

Arguments

• k: speed of reversion
• r: initial interest rate
• σ: instantaneous volatility
• θ: long term mean level
• t: time interval

BlackKarasinski()

Black-Karasinski model.

BlackScholes()

Black-Scholes model.

BrennanSchwartz()

Brennan and Schwartz model.

CoxIngersollRoss()

Cox-Ingersoll-Ross model.

CoxRossRubinstein()

Cox-Ross-Rubinstein binomial model (aka Binomial options pricing model).

GarmanKohlhagen()

Garman–Kohlhagen model.

JarrowRudd()

Jarrow-Rudd model.

LeisenReimer()

Leisen-Reimer binomial model.

LongstaffSchwartz()

Longstaff-Schwartz model.

RendlemanBartter()

Rendleman-Bartter model.

Tian()

Tian binomial model.

Vasicek()

Vasicek model.

evaluate(IRD, BlackKarasinski(), n = 12)

Evaluate interest rate derivative using BlackKarasinski model.

Arguments

• IRD::InterestRateDerivative: interest rate derivative
• n: number of paths to simulate

evaluate(O, BlackScholes())

Evaluate option O using BlackScholes model.

Arguments

• O::Option: Option

evaluate(o)

Evaluate option o using Back-Scholes model as default valuation model.

evaluate(IRD, BrennanSchwartz(), n = 12)

Evaluate interest rate derivative IRD using BrennanSchwartz model.

Arguments

• IRD::InterestRateDerivative: interest rate derivative
• n: number of paths to simulate

evaluate(IRD, CoxIngersollRoss(), n)

Evaluate interest rate derivative IRD using CoxIngersollRoss model.

Arguments

• IRD::InterestRateDerivative: interest rate derivative
• n: number of paths to simulate

evaluate(O, CoxRossRubinstein(), N = 1000)

Evaluate option O using CoxRossRubinstein.

Arguments

• O::Option: option
• N: number of paths to simulate

evaluate(O::FXOption, GarmanKohlhagen())

Evaluate FX Option using GarmanKohlhagen model.

Arguments

• O::FXOption

evaluate(O, JarrowRudd(), risk_neutral = true, N = 1000)

Evaluate option O using JarrowRudd binomial model (defaults to the risk-neutral version).

Arguments

• O::Option: option
• risk_neutral: true if risk neutral, false if equal probability.
• N: number of paths to simulate

evaluate(O, LeisenReimer(), N = 1001)

Evaluate option O using LeisenReimer binomial model.

Arguments

• N: number of paths to simulate, must be odd

evaluate(O, LongstaffSchwartz(), N = 1000, P = 10000)

Evaluate option O using LongstaffSchwartz binomial model.

Arguments

• N: number of paths to simulate
• P: number of periods

evaluate(IRD, RendlemanBartter(), n = 12)

Evaluate interest rate derivative IRD using RendlemanBartter model.

Arguments

• n: number of paths to simulate

evaluate(O, RendlemanBartter(), k = 1, N = 1000)

Evaluate option O using RendlemanBartter model.

Arguments

• k:
• N:

evaluate(O, Tian(), N = 1000)

Evaluate option O using Tian binomial model.

Arguments

N: number of paths to simulate

evaluate(IRD, Vasicek(), n = 12)

Evaluate interest rate derivative IRD using Vasicek model.

Arguments

• n: number of paths to simulate

Abstract type for derivative contract.

Abstract type for forward contract.

Abstract type for futures contract.

Abstract type for option.

Abstract type for swap.

Abstract type for swaption.