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| 3-in-1: COM, .NET and XML Web service Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. We also cover: Treasury's, Price/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity |
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| Updated |
Nov 26, 2004 08:16:35 | | Size | 5664 kb | | Licence | Demo | | Status | Major Update | | Languages | English | | Tags | bonds, interest rate, COM, .NET, XML, Web service, Class Libraries, C#, VB.NET, C++, capital market, markets | | OS | Windows 98, Windows NT, Windows 2000, Windows XP, Windows 2003 | | Homepage | webcabcomponents.com | | Email | webcab@gmail.com | | Author | Ben Fairfax |
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| Other author's software: | - WebCab Options (J2SE Edition) 2.5 Java API for price option and futures contracts using Monte Carlo and Finite Difference techniques. General MC pricing framework: wide range of contracts, price, interest and vol models.
- WebCab Portfolio for .NET 4.2 .NET, COM and XML Web service implementation of Markowitz Theory and the CAPM to construct the optimal portfolio with/without asset weight constraints with respect to the risk, return or investors utility function.
| | Show all author's software |
Description: 3-in-1: COM, .NET and XML Web service Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. We also cover: Treasury bonds, Price/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity.
General Pricing Framework offers the following predefined Models and Contracts:
Contracts: Asian Option, Binary Option, Cap, Coupon Bond, Floor, Forward Start stock option, Lookback Option, Ladder Option, Vanilla Swap, Vanilla Stock Option, Zero Coupon Bond, Barrier Option, Parisian Option, Parasian Option, Forward and Future.
Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve, One factor stochastic models (Vasicek, Black-Derman-Toy (BDT), Ho & Lee, Hull and White), Two factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz), Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield (Ho & Lee, Hull & White), Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model.
Price Models: Constant price model, General deterministic price model, Lognormal price model, Poisson price model.
Volatility Models: Constant Volatility Models, General Deterministic Volatility model, Hull & White Stochastic model of the Variance, Hoston Stochastic Volatility model.
Monte Carlo Princing Engine: Evaluate price estimate accordance to number of iterations or maximum expected error. Evaluate the standard deviation of the price estimate, and the minimum/maximum expected price for a given confidence level.
This product also has the following technology aspects:
3-in-1: .NET, COM, and XML Web services - 3 DLLs, 3 API Docs,...
Extensive Client Examples (C#, VB, C++,...)
ADO Mediator
Compatible Containers (VS 6, VS.NET, Office 97/2000/XP/2003, C++Builder, Delphi 3-2005) | Short tags: bonds, interest rate, COM, .NET, XML, Web service, Class Libraries, C#, VB.NET, C++, capital market, markets | System Requirements: .NET Framework v1.x | |
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| Free Download WebCab Bonds for .NET 2 from webcabcomponents.com |
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