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Nov 10

Online derivative calculator

Posted by abiao at 21:55 | Code » Other | Comments(2) | Reads(32848)
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


dilipsenapati Email
I m Dilip Senapati now doing Mtech in computer science from JNU,New -delhi,India.
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