CapeTools IREngineOptions

General Description

Functions to price a range of interest rate derivatives.

Caps,

Floors,

Collars,

European Callable Bonds

Bermudan Callable Bonds

European Swaptions

Bermudan Swaptions

These functions require the correct pricing engine to be constructed and these can be supplied via the functions present within the CapeTools IR Engine category of functions.

Convertible Bond pricing is present within the CapeTools EngineOptions category of functions.

The European and Bermudan Callable Bond functions presented here overcome some disadvantages that the functions within the CapeTools Bond Options category contain.

These functions can handle correctly Bond Objects with the following features :

Amortised Notional

Step Up/Down Coupon rates.

If you do not see a function here which matches your particular payoff, you can use the generic pricing functions present within the following categories of functions :

CapeTools Generic PDE Pricer - single asset

CapeTools Generic Tree Pricer - single asset

CapeTools Generic MonteCarlo Pricer - multi asset

CapeTools Generic IR LMM MonteCarlo Pricer - single LIBOR

CapeTools Generic IR Tree Pricer - single LIBOR

These categories of functions allow you to provide your own pricing functions within a pricing grid.