Engines Category Group

1. CapeTools IR Engine

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   General Description

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   Functions to create several interest engines for the pricing of interest rate products (Caps, Floors, Swaptions and BondOptions). The following pricing engines can be constructed :
   
   

   • G2 two-factor Swaption Engine (European and Bermudan options)
   • Tree Swaption Engine (European and Bermudan options)
   • Tree CapFloor Engine
   • Black CapFloor Engine (European option only)
   • Forward Libor Market Model Swaption Engine (used for calibration only)
   • Jamshidian Swaption Engine (used for calibration only)

   
   
   
   
   
2. CapeTools Vanilla Engine

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   General Description

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   Functions to create several engines for the pricing of vanilla options. You can price Vanilla options via the VanillaOption() function using one of the following engines :
   
   

   • Integral European Engine (Integrates the payoff)
   • Analytic European Engine (classic Black-Scholes formula)
   • Analytic European Dividend Digital Engine
   • Pseudo European Monte-Carlo Engine
   • Pseudo European Monte-Carlo Digital Engine
   • Quasi European Monte-Carlo Engine
   • Quasi European Monte-Carlo Digital Engine
   • Jump Diffusion Engine

   
   
   
   
   
3. CapeTools Vanilla Tree Engine

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   General Description

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   Functions to create several Binomial Tree engines for the pricing of vanilla options. You can price Vanilla options via the VanillaOption() function using one of the following engines :
   
   

   • Jarrow Rudd Binomial Tree Engine
   • Cox Ross Rubinstein Binomial Tree Engine
   • Additive equal probability Binomial Tree Engine
   • Trigeorgis Binomial Tree Engine
   • Tian Binomial Tree Engine
   • Leisen Reimer Binomial Tree Engine

   
   
   
   
   
4. CapeTools ConvertibleBond Engine

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   General Description

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   Functions to create several Tsiveriotis-Fernandes engines for the pricing of convertible bonds. You can price Convertible Bonds via the ConvertibleBond() function using one of the following engines :
   
   

   • Jarrow Rudd Tsiveriotis-Fernandes Engine
   • Cox Ross Rubinstein Tsiveriotis-Fernandes Engine
   • Additive equal probability Tsiveriotis-Fernandes Engine
   • Trigeorgis Tsiveriotis-Fernandes Engine
   • Tian Tsiveriotis-Fernandes Engine
   • Leisen Reimer Tsiveriotis-Fernandes Engine

   
   
   
   
   
5. CapeTools FD Engine

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   General Description

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   Functions to create several Finite Difference engines for the pricing of vanilla options. You can price Vanilla options via the VanillaOption() function using one of the following engines :
   
   

   • European Finite Difference Engine
   • American Finite Difference Engine
   • Bermudan Finite Difference Engine
   • Shout Finite Difference Engine
   • Dividend European Finite Difference Engine
   • Dividend American Finite Difference Engine
   • Dividend Shout Finite Difference Engine

   
   
   
   
   
6. CapeTools Asian Engine

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   General Description

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   Functions to create several Asian engines for the pricing of Asian options. You can price Asian options by executing the ContinuousAsianOption() or DiscreteAsianOption() functions using one of the following engines :
   
   

   • Analytic Continuous Geometric Average Price Asian Engine
   • Analytic Discrete Geometric Average Price Asian Engine
   • Pseudo MonteCarlo Discrete Arithmetic Average Price Engine
   • Pseudo MonteCarlo Discrete Geometric Average Price Engine
   • Quasi MonteCarlo Discrete Arithmetic Average Price Engine
   • Quasi MonteCarlo Discrete Geometric Average Price Engine

   
   
   
   
   
7. CapeTools American Engine

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   General Description

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   Functions to create several American engines for the pricing of American vanilla options. You can price American options via the VanillaOption() function using one of the following engines :
   
   

   • Analytic Digital American Engine
   • Barone Adesi Whaley Approximation Engine
   • Bjerksund Stensland Approximation Engine
   • Ju Quadratic Approximation Engine

   
   
   
   
   
8. CapeTools Cliquet Engine

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   General Description

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   Functions to create several Cliquet engines for the pricing of Cliquet options. You can price Cliquet options via the CliquetOption() function using one of the following engines :
   
   

   • Analytic Cliquet Engine
   • Analytic Performance Engine

   
   
   
   
   
9. CapeTools Barrier Engine

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   General Description

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   Functions to create several Barrier engines for the pricing of Barrier options. You can price Barrier options via the BarrierOption() function using one of the following engines :
   
   

   • Analytic Barrier Engine
   • Pseudo MonteCarlo Barrier Engine
   • Quasi MonteCarlo Barrier Engine

   
   
   
   
   
10. CapeTools Basket Engine

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    General Description

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    Functions to create several Basket engines for the pricing of Basket options. You can price Basket options via the BasketOption() function using one of the following engines :
    
    

    • Stulz Engine for pricing 2D European basket options (Only 2 assets)
    • Pseudo MonteCarlo Basket Engine (American and European)
    • Quasi MonteCarlo Basket Engine (American and European)

    
    
    
    
    
11. CapeTools Generic Engine

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    General Description

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    No functions present as yet.