API

API

Derivatives

FinancialDerivatives.AmericanOption — Type.
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: 1 if call, -1 if put
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FinancialDerivatives.AsianOption — Type.
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: 1 if call, -1 if put
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FinancialDerivatives.EuropeanOption — Type.
EuropeanOption(s, k, r, σ, t, call)

European option.

Arguments

  • s: underlying price
  • k: strike price
  • r: risk-free interest rate
  • σ: volatility
  • t: time to expiration
  • call: 1 if call, -1 if put
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FinancialDerivatives.FXOption — Type.
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: 1 if call, -1 if put
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FinancialDerivatives.InterestRateDerivative — Type.
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
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Models

FinancialDerivatives.BlackKarasinski — Type.
BlackKarasinski()

Black-Karasinski model.

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FinancialDerivatives.BlackScholes — Type.
BlackScholes()

Black-Scholes model.

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FinancialDerivatives.BrennanSchwartz — Type.
BrennanSchwartz()

Brennan and Schwartz model.

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FinancialDerivatives.CoxIngersollRoss — Type.
CoxIngersollRoss()

Cox-Ingersoll-Ross model.

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FinancialDerivatives.CoxRossRubinstein — Type.
CoxRossRubinstein()

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

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FinancialDerivatives.GarmanKohlhagen — Type.
GarmanKohlhagen()

Garman–Kohlhagen model.

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FinancialDerivatives.JarrowRudd — Type.
JarrowRudd()

Jarrow-Rudd model.

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FinancialDerivatives.LeisenReimer — Type.
LeisenReimer()

Leisen-Reimer binomial model.

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FinancialDerivatives.LongstaffSchwartz — Type.
LongstaffSchwartz()

Longstaff-Schwartz model.

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FinancialDerivatives.RendlemanBartter — Type.
RendlemanBartter()

Rendleman-Bartter model.

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FinancialDerivatives.Tian — Type.
Tian()

Tian binomial model.

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FinancialDerivatives.Vasicek — Type.
Vasicek()

Vasicek model.

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Evaluation

FinancialDerivatives.evaluate — Function.
evaluate(IRD, BlackKarasinski(), n = 12)

Evaluate interest rate derivative using BlackKarasinski model.

Arguments

  • IRD::InterestRateDerivative: interest rate derivative
  • n: number of paths to simulate
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evaluate(O, BlackScholes())

Evaluate option O using BlackScholes model.

Arguments

  • O::Option: Option
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evaluate(o)

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

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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
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evaluate(IRD, CoxIngersollRoss(), n)

Evaluate interest rate derivative IRD using CoxIngersollRoss model.

Arguments

  • IRD::InterestRateDerivative: interest rate derivative
  • n: number of paths to simulate
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evaluate(O, CoxRossRubinstein(), N = 1000)

Evaluate option O using CoxRossRubinstein.

Arguments

  • O::Option: option
  • N: number of paths to simulate
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evaluate(O::FXOption, GarmanKohlhagen())

Evaluate FX Option using GarmanKohlhagen model.

Arguments

  • O::FXOption
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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
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evaluate(O, LeisenReimer(), N = 1001)

Evaluate option O using LeisenReimer binomial model.

Arguments

  • N: number of paths to simulate, must be odd
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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
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evaluate(IRD, RendlemanBartter(), n = 12)

Evaluate interest rate derivative IRD using RendlemanBartter model.

Arguments

  • n: number of paths to simulate
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evaluate(O, RendlemanBartter(), k = 1, N = 1000)

Evaluate option O using RendlemanBartter model.

Arguments

  • k:
  • N:
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evaluate(O, Tian(), N = 1000)

Evaluate option O using Tian binomial model.

Arguments

N: number of paths to simulate

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

Evaluate interest rate derivative IRD using Vasicek model.

Arguments

  • n: number of paths to simulate
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Private

FinancialDerivatives.Derivative — Type.

Abstract type for derivative contract.

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FinancialDerivatives.Forward — Type.

Abstract type for forward contract.

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FinancialDerivatives.Future — Type.

Abstract type for futures contract.

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FinancialDerivatives.Option — Type.

Abstract type for option.

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FinancialDerivatives.Swap — Type.

Abstract type for swap.

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FinancialDerivatives.Swaption — Type.

Abstract type for swaption.

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