| Class | Description |
|---|---|
| ATMTermStructureSpline |
ATMTermStructureSpline contains an illustration of the Calibration and Extraction of the Deterministic ATM
Price and Volatility Term Structures using Custom Splines.
|
| BlackHestonForwardOption |
BlackHestonForwardOption illustrates pricing a forward using the Black '76 variant and the Heston's
stochastic Volatility Models.
|
| BrokenDateVolSurface |
BrokenDateVolSurface contains an illustration of the Construction and Usage of the Option Volatility
Surface, and the Evaluation at the supplied Broken Dates.
|
| CustomVolSurfaceBuilder |
CustomVolSurfaceBuilder contains an Comparison of the Construction of the Volatility Surface using
different Splining Techniques.
|
| DeterministicVolBlackScholes |
DeterministicVolBlackScholes contains an illustration of the Black Scholes based European Call and Put
Options Pricer that uses deterministic Volatility Function.
|
| DeterministicVolTermStructure |
DeterministicVolatilityTermStructure contains an illustration of the Calibration and Extraction of the
Implied and the Deterministic Volatility Term Structures.
|
| LocalVolatilityTermStructure |
LocalVolatilityTermStructure contains an illustration of the Calibration and Extraction of the Implied and
the Local Volatility Surfaces and their eventual Strike and Maturity Anchor Term Structures.
|
| MarketSurfaceTermStructure |
MarketSurfaceTermStructure contains an illustration of the Creation and Usage of the Strike Anchored and
Maturity Anchored Term Structures extracted from the given Market Surface.
|
| VanillaBlackNormalPricing |
VanillaBlackNormalPricing contains an illustration of the Vanilla Black Normal European Call and Put
Options Pricer.
|
| VanillaBlackScholesPricing |
VanillaBlackScholesPricing contains an illustration of the Vanilla Black Scholes based European Call and
Put Options Pricer.
|