Pricing Engine Overview¶
Vitis Quantitative Finance Library 1.0 provides 12 pricing engines to calculate price for the following options.
- European Option
- American Option
- Asian Option
- Barrier Option
- Digital Option
- Cliquet Option
Additionally, the following options have 2 Closed-Form solution engines; the Black-Scholes-Merton model and the Heston model.
- European Option
There is also a Binomial Tree (Cox-Ross-Rubinstein) engine that will calculate prices for:
- European Option
- American Option
The main feature for each pricing engines is as the following table.
| Pricing Engines | Option | Model | Solution Method | |
| MCEuropeanEngine | European | Black-Scholes | Monte Carlo | |
| MCAsianAPEngine | Asian | |||
| MCAsianGPEngine | ||||
| MCAsianASEngine | ||||
| MCCliquetEngine | Cliquet | |||
| MCDigitalEngine | Digital | |||
| MCBarrierEngine | Barrier | |||
| MCBarrierNoBiasEngine | ||||
| MCAmericanEngine | American | |||
| MCEuropeanHestonEngine | European | Heston | ||
| MCMultiAssetEuropean/ HestonEngine | ||||
| CFBlackScholes | European | Black-Scholes | Closed Form | |
| CFHeston | European | Heston | ||
| BTCRR | European American | Cox-Ross-Rubinstein | Binomial Tree | |
| FdHullWhiteEngine | Swaption | Hull-White | finite-difference methods | |
| FdG2SwaptionEngine | Two-additive factor Gaussian | |||
| treeSwaptionEngine | Hull-White Black-Barasinski Cox-Ingersoll-Ross Extended Cox-Ingersoll-Ross Vasicek Two-additive factor Gaussian | Trinomial Tree Trinomial Tree Trinomial Tree Trinomial Tree |
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| treeSwapEngine | Swap | Hull-White Black-Barasinski Cox-Ingersoll-Ross Extended Cox-Ingersoll-Ross Vasicek Two-additive factor Gaussian | ||
| treeCapFloorEngine | Cap/Floor | Hull-White Black-Barasinski Cox-Ingersoll-Ross Extended Cox-Ingersoll-Ross Vasicek Two-additive factor Gaussian | ||
| treeCallableBondEngine | Callable Bond | Hull-White Black-Barasinski Cox-Ingersoll-Ross Extended Cox-Ingersoll-Ross Vasicek Two-additive factor Gaussian | ||
| MCHullWhiteCapFloorEngine | Cap/Floor | Hull-White | Monte Carlo | |
| CPICapFloorEngine | CPI Cap/Floor | – | Close Form | |
| DiscountingBondEngine | Discounting Bond | – | ||
| InflationCapFloorEngine | Inflation Cap/Floor | – | ||