Pricing Engine OverviewΒΆ

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
CFBlack76 European Black 76
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

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 –
hjmEngine N/A Heath-Jarrow-Morton Monte Carlo
lmmEngine N/A LIBOR Market Model (BGM) Monte Carlo
HWAEngine Bond Price Option Cap/Floor Hull-White Analytic Closed Form