Features
- New interest rate model
- Black-Karasinski (lognormal) interest rate model
Valuation of already-implemented instruments under Black-Karasinski
model
- Fixed-rate bond
- Vanilla cap/floor
- Forward-start swaption
- Callable/putable general constant maturity (CM) floater
- Callable/putable fixed-rate bond
- Fixed-rate bond option
- Callable/putable general zero
- Callable/putable general CM swap
- Callable/putable general amortizing CM swap
- General CM floater
- Callable/putable snowball floater
- Callable/putable snowball swap
- Callable/putable ratchet floater
- Callable/putable ratchet swap
- Target redemption note
- Target redemption swap
- Callable/putable digital range accrual
- Callable/putable digital range accrual swap
New instruments
- Callable/putable switchable zero
- Valuation under general Hull-White and Black-Karasinski
models
- Target redemption snowball
- Valuation under general Hull-White and Black-Karasinski
models
- Target redemption digital range accrual
- Valuation under general Hull-White and Black-Karasinski
models
- Callable/putable volatility bond
- Valuation under general Hull-White and Black-Karasinski
models
- General steepener type 2 with lock-in feature
- Valuation under two-factor Hull-White model
- Target redemption steepener swap
- Valuation under two-factor Hull-White model
General features
- Valuation of equity and FX derivatives under a local
volatility surface
- Valuation of the most sophisticated types of equities,
FX, and interest rates
- Inclusion of dozens of exotic options and complex structured
products, and a vast universe of exotic contract features
- Multiple callability of even the most complex
structures
- Calculation of hedging, sensitivity parameters, and survival
probabilities
- Advanced calibration schemes for pricing and risk analysis
with respect to market data
- Insight into complex contracts by means of graphical exploration
- Elegant instrument-building capabilities
- "What-if" analysis with respect to contract features
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