Pricing Engine Kernel Design

• Internal Design of European Option Pricing Engine
  • Overview
  • Implementation
• Internal Design of MCEuropeanHestonEngine
  • Overview
  • Implementation
  • Variations
• Internal Design of Asian Option Pricing Engine
  • Overview
  • MCAsianAPEngine
  • MCAsianASEngine
  • MCAsianGPEngine
  • Profiling
• Internal Design of Digital Option Pricing Engines
  • Overview
  • Implementation
• Internal Design of Barrier Option Pricing Engine
  • Overview
  • Implementation
    • MCBarrierEngine
    • MCBarrierNoBiasEngine
• Internal Design of Cliquet Option Pricing Engine
  • Overview
  • Implementation
• Internal Design of American Option Pricing Engine
  • Overview
  • Theory
  • Implementation
    • Calibration Process
    • Pricing Process
      • MCAmericanEnginePricing
    • MCAmericanEngine APIs
• Internal Design of MCMultiAssetEuropeanHestonEngine
  • Overview
  • Implementation
  • Variations
• Internal Design of MCHullWhiteCapFloorEngine
  • Overview
  • Implementation
• Internal Design of MCEuropeanHestonGreeksEngine
  • Overview
  • Implementation
• Internal Design of Closed Form Black-Scholes-Merton
  • Overview
  • Design Structure
  • cfBSMEngine (cf_bsm.hpp)
  • bsm_kernel (bsm_kernel.cpp)
  • Theoretical throughput
  • Resource Utilization
  • Throughput
• Internal Design of Closed Form Black-76
  • Overview
  • Design Structure
  • cfB76Engine (cf_b76.hpp)
  • b76_kernel (b76_kernel.cpp)
  • Theoretical throughput
  • Resource Utilization
  • Throughput
• Internal Design of Closed Form Heston
  • Overview
  • Design Structure
  • The Engine (hcf_engine.hpp)
  • IO Wrapper (hcf_kernel.cpp)
  • Resource Utilization
  • Throughput
• Internal Design of Closed Form Merton 76
  • Overview
  • Design Structure
  • The Engine (M76Engine.hpp)
  • IO Wrapper (m76_kernel.cpp)
  • Resource Utilization
  • Throughput
• Internal Design of Garman Kohlhagen
  • Overview
  • Design Structure
  • The Engine
  • IO Wrapper (gk_kernel.cpp)
  • Resource Utilization
  • Throughput
• Internal Design of Quanto
  • Overview
  • Design Structure
  • The Engine
  • IO Wrapper (quanto_kernel.cpp)
  • Resource Utilization
  • Throughput
• Internal Design of Cox-Ross-Rubinstein Binomial Tree
  • Overview
  • Design Structure
  • bt_engine (bt_engine.hpp)
  • binomialtreekernel (binomialtreekernel.cpp)
  • Resource Utilization
  • Throughput
• Internal Design of Finite-Difference Hull-White Bermudan Swaption Pricing Engine
  • Overview
  • Implementation
  • Mesher
  • Differential operator
  • Evolution scheme
  • Profiling
• Internal Design of Finite-Difference G2 Bermudan Swaption Pricing Engine
  • Overview
  • Implementation
  • Mesher
  • Differential operator
  • Profiling
• Internal Design of Tree Bermudan Swaption Engine
  • Overview
  • Implemention
  • Profiling
• Internal Design of CPI CapFloor Engine
  • Overview
  • Implemention
  • Profiling
• Internal Design of Inflation CapFloor Engine
  • Overview
  • Implemention
  • Profiling
• Internal Design of Zero Coupon Bond Engine
  • Overview
  • Implemention
  • Profiling
• Internal Design of Heath-Jarrow-Morton Framework
  • Overview
  • Design Structure
    • PCA HJM Kernel
    • MC HJM Kernel
    • Pricer Algorithms
• Internal Design of LIBOR Market Model
  • Overview
  • Design Structure
  • Calibration of the Model
    • Correlation calibration
    • Volatility Calibration
  • Pricing Algorithms
    • Cap Pricing
    • Ratchet Floater Pricing
    • Ratchet Cap Pricing
  • Internal Architecture
• Internal Design of HWA Engine
  • Implementation
    • Zero Coupon Bond Price
    • Equity Option Pricing
    • Cap/Floor
  • Implemention
    • Kernel
    • Host
• Internal Design of CDS Engine
  • Implementation
    • Host
    • Kernel
• Internal Design of Black Scholes Local Volatility Solver
  • Overview
  • Mathematical Background
  • Design Details
  • Test Methodology