Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
May 12

The Long Vega Financial Engineering Tool

Posted by abiao at 19:31 | Code » Java | Comments(0) | Reads(7271)
This tool can replicate and price any non path-dependent, continuous piecewise linear payoff function on a stock. You can use the tool to price and value option positions and simple structured products on a stock.

The Financial Engineering tool automatically replicates and prices a given continuous piecewise linear payoff function. So far the tool can only handle payoffs on a stock, where the payoff is denominated in the same currency as the stock.

Open in new window

Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]