Online derivative calculator

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[

2008/11/10 21:55 | by abiao ]

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An online derivative calculator covers:

Bond Price Volatility: duration(s), convexity, immunization;
Term Structure: yield curve, spot rate, forward rate, term structure theories
Option Pricing: Black-Scholes, binomial, European, American
Numerical Greeks (& Some Latin): delta, gamma, vega, theta
Option Applications & Exotic Options: Corporate securities, barrier, Asian, lookback, Parisian option,compound, exchange, etc.
futures, forward, futures option, swap
Monte Carlo & Quasi-random: variance reduction, Brownian bridge, Halton-, Sobel-, Faure-sequences
GARCH option pricing model:multinomial tree, Monte Carlo
Interest Rate Models: lognormal, Vasicek, CIR, BDT, Hull-White, HJM
Mortgage-backed Securities: prepayment, PSA, CPR, SMM, pass-through, CMO, stripped MBS, ARM, prepayment model, seq. CMO, PO/IO, PAC, option-adjusted spread, cash flow, duration
convertible bond, callable & put bond, option-adjusted spread
...

http://www.csie.ntu.edu.tw/~lyuu/Capitals/capitals.htm