Convexity, Delay and Cups (currency protected swap) adjustments.
Curve functions for bootstrapping, interpolation and
extrapolation.
Extensive, reliable support for Corporate and Government
Bonds for pricing, yield to maturity, option adjusted spreads and sensitivities.
Black-Scholes Model with skew including functions for
many option products.
Generic Tree models for building product specific multi-factor
valuations.
Credit Exposure analysis for Swaps, Swap Options, Caps,
FRAs.
TAM/T4M Swap Pricing.
Exotic Pricing including Bermudan, IndexAm, Chooser Caps.
Distributed Computing Environment.
Products supported “out of the box”:
These are products for which specific Alib functions exist
to price the instrument. Since Alib is a generic analytics library with many
advanced model frameworks (like 1 and2-factor trinomial trees) that make it
simple to add new products, this list should not be considered exhaustive. Also
terminology can vary and some of these products may be known by other names.
It should be noted that the full flexibility in setting up cash flows (i.e.
flexible dates, day count fractions, amortization of notional, etc) may not
be obvious from this list. Most of the exotic interest rate products can be
priced in a 1 or 2-factor trinomial tree framework. Hull-White and Black-Karasinski
models are available for all products in both 1-factor modes; and for a number
of the products in 1or 2-factor mode. Multiple-name Credit products are valued
by choosing either a Monte Carlo or a fast semi-analytic method.
Swaps, Cap/Floors, Swaptions.
Currency Swaps.
CDS (Credit Default Swaps).
CDO (Collateralized Debt Obligations. Includes nth to
default, CDO^2, etc...).
CMS (Constant Maturity Swaps).
CMS Swaptions - European or American option on a constant
maturity swap.
Contingent Swaptions - European or American options where
the exercise is contingent on the value of an index being above or below a
certain level.
Swaptions - European, Bermudan and American. Both legs
can be subjected to deterministic amortization of nationals. The floating
leg pays on an arbitrary index which can be defined as a linear combination
of market indices.
Double Barrier knock-out and knock-in Swaps.
FX Barrier options (single and double).
Quanto Swaps.
Exotic swaptions – American/Bermudan options where
both legs can be subjected to deterministic amortization of notionals. The
floating leg pays on an arbitrary index which can be defined as a linear combination
of market indices.
Basis Caps and Floors.
Callable Bonds.
Outside Barrier Options.
Bivariate Binary Barrier Options.
Basis Swaps (Muni, CP, etc... Swaps).
Asset Swaps.
Total Return Swaps.
Index Amortizing Caps & Floors.
Barrier Options on Caps & Floors – Single and
double barriers, Knock-in/Knock-out.
Chooser/Survivor Caps and Floors.
Installment Caps and Floors.
Options on Caps and Floors -American, European, and multi-European
(Bermudan).
Spread Options.
Lookback Options.
Sticky Caps and Floors and Collars.
Options on Sticky/adjustable cap/floors option.
Adjustable Cap/Floors/Collars (also called Momentum or
Ratchet).
Options on Adjustable Cap/Floors/Collars (also called
Momentum or Ratchet).
Memory Caps/Floors.
Options on Memory Caps/Floors.
Power Options (Non-linear, leveraged Options).
Basket Options.
Compound Options (options on options).
Compounding Knock-in/Knock-out Options (where the forward
and strike are compounded).
N-ways Options - This option gives the holder the right
to exchange, at expiry, a pre-determined quantity of an asset.
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