CapeTools Exercise
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In total there are 9 functions present within the CapeTools Exercise category of functions.
General Description
Functions to price option products under a pricing engine framework.
To price a single product under this framework, you require 5 objects to be constructed. These are :
- A pricing engine object
- An exercise object
- A payoff object
- One or more process objects
- A pricer object
The pricing engine object specifies the method of calculation (Tree, MC, direct, integration etc...).
The exercise object specifies the date(s) that exercise can take place.
The payoff object specifies the payoff function.
The process object(s) specifies the characteristics of the underlyer(s) whether Equity, FX or Commodity.
The pricer object takes in the Engine, Exercise, Payoff and Process objects and compute a price.
This category of contains the Exercise objects that are to be passed to option pricing functions (see the 'CapeTools EngineOptions' category of functions). The following Exercise types can be constructed.
- EuropeanExercise()
- BermudanExercise()
- AmericanExercise()
You can also create Bermudan exercise objects from interest rate leg, Schedule, Swap and Bond objects via the following functions.
- ExerciseFromLeg()
- ExerciseFromSche()
- ExerciseFromSW()
- ExerciseFromFIXBND()
To display the dates stored within an Exercise object, you can execute the following function :
- DisplayExerciseDates() ( For the American Exercise object, only the starting and ending dates will be shown)
Function list.
- AmericanExercise - Creates an American Exercise object.
- BermudanExercise - Creates an Bermudan Exercise object.
- DisplayExerciseDates - Displays the Exercise dates within an exercise object.
- EuropeanExercise - Creates an European Exercise object.
- ExerciseFromFIXBND - Creates a Bermudan Exercise object from the cashflow dates of the given FixedCoupon BOND object.
- ExerciseFromFLTBND - Creates a Bermudan Exercise object from the cashflow dates of the given FloatingRate BOND object.
- ExerciseFromLeg - Creates a Bermudan Exercise object from the cashflow dates of the given Leg object.
- ExerciseFromSW - Creates a Bermudan Exercise object given a Swap object.
- ExerciseFromSche - Creates a Bermudan Exercise object from the cashflow dates of the given Schedule object.
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