CapeTools Vanilla Engine

CapeTools Vanilla Engine

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In total there are 18 functions present within the CapeTools Vanilla Engine category of functions.

General Description

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

Function list.

AnaDivEuroEngine - Creates an Analytic Dividend European Engine for pricing european options with discrete dividends.
AnalyticEuropeanEngine - Creates an Analytic European Engine for pricing vanilla structures.
AnalyticHestonEngine - Creates an Analytic European Heston Engine for pricing vanilla structures (see - Heston, Steven L., 1993.
BatesDblExpDetJumpEng - Creates an Analytic Double-Exponential Jump Diffusion with Deterministic Jump Intensity Engine for pricing vanilla structures.
BatesDetJumpEngine - Creates an Analytic European Log-Normal Jump Diffusion with Deterministic Jump Intensity Engine for pricing vanilla structures.
BatesDoubleExpEngine - Creates an Analytic European Double-Exponential Jump Diffusion Engine for pricing vanilla structures.
BatesEngine - Creates an Analytic European Bates Engine for pricing vanilla structures.
IntegralEngine - Creates an Integral European Engine for pricing european options.
JumpDiffusionEngine - Creates a Jump Diffusion Engine for pricing european options.
PMCDigitalEngine - Creates a Pseudo MonteCarlo Digital Engine for pricing digital options.
PMCDigitalEngine2 - Creates a Pseudo MonteCarlo Digital Engine for pricing digital options.
PseudoHestonMCEngine - Creates a Pseudo MonteCarlo Heston Engine for pricing european options.
PseudoHestonMCEngine2 - Creates a Pseudo MonteCarlo Heston Engine for pricing european options.
PseudoMonteCarloEngine - Creates a Pseudo MonteCarlo Engine for pricing european options.
PseudoMonteCarloEngine2 - Creates a Pseudo MonteCarlo Engine for pricing european options.
QMCDigitalEngine - Creates a Quasi MonteCarlo Digital Engine for pricing digital options.
QuasiHestonMCEngine - Creates a Quasi MonteCarlo Heston Engine for pricing european options.
QuasiMonteCarloEngine - Creates a Quasi MonteCarlo Engine for pricing european options.