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 |
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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 | β | Close Form | |
DiscountingBondEngine | Discounting Bond | β | ||
InflationCapFloorEngine | Inflation Cap/Floor | β | ||
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 |