Products Overview Features Functions Download Requirements FinExotics XL Functions Function Highlights Each FinExotics XL function can calculate price and the risk sensitivities as well as implied volatilities and implied strikes.  The risk sensitivities include the sensitivity to price (delta and gamma), time (theta), volatility (vega), interest rate (rho), yield rate (psi),elasticity (lambda), and correlation (chi). Asian Option Functions AveragePrice Calculates the price and sensitivities of an Average Price Asian option using either an Arithmetic or Geometric model. AverageStrike Calculates the price and sensitivities of an Average Strike Asian option using either an Arithmetic or Geometric model. AsianMC Calculates Average Price Asian Options using either an Antithetic or Control Variate Monte Carlo technique. AsianSpreadMC Calculates a Two Asset Asian spread option using a Monte Carlo technique. Barrier Option Functions BarrierSingle Calculates the price and sensitivities of a Single Barrier option. BarrierSingleTri Calculates the price and sensitivities of an American or European style Single Barrier option using a trinomial model. BarrierDouble Calculates the price and sensitivities of a Double Barrier option. BarrierLookback Calculates the price and sensitivities of a Lookback Barrier option. BarrierPartialStart Calculates the price and sensitivities of a partial-time start Barrier option. BarrierPartialEnd Calculates the price and sensitivities of a partial-time end Barrier option. BarrierSoft Calculates the price and sensitivities of a Soft Barrier option. BarrierPartialTA Calculates the price and sensitivities of a partial-time end Barrier option. BarrierTwoAsset Calculates the price and sensitivities of a two-asset Barrier option. Binary Option Functions AssetOrNothing Calculates the price and sensitivities of an asset-or-nothing binary option. CashOrNothing Calculates the price and sensitivities of a cash-or-nothing Binary option. CashOrNothingTA Calculates the price and sensitivities of a two-asset cash-or-nothing Binary option. Gap Calculates the price and sensitivities of a gap binary option. Supershare Calculates the price and sensitivities of a super share option. BinaryBarrier Calculates the price and sensitivities of all 28 variations of a Binary-Barrier option. Currency Translated Option Functions EquityLinkedFX Calculates the price and sensitivities of an Equity Linked Foreign Exchange option valued in either domestic or foreign currency. ForeignEquity Calculates the price and sensitivities of an Foreign Equity option struck in domestic currency valued in either domestic or foreign currency. Quanto Calculates the price and sensitivities of a Quanto option valued in domestic currency. TakeoverFX Calculates the price and sensitivities of a Takeover foreign exchange option. Lookback Option Functions ExtremeSpread Calculates the price and sensitivities of an Extreme Spread and Reverse Extreme Spread Lookback options. Lookback Calculates the price and sensitivities of a floating strike Lookback option. LookbackFixed Calculates the price and sensitivities of a fixed strike Lookback option. LookbackPFixed Calculates the price and sensitivities of a partial-time fixed strike Lookback option. LookbackPFloat Calculates the price and sensitivities of a partial-time floating strike Lookback option. LookbackMC Calculates the price and sensitivities of a floating strike Lookback option using a Monte Carlo technique. Multiple Asset Option Functions DualStrikeBin Calculates the price and sensitivities of an American or European Dual-Strike or Reverse Dual-Strike option using a binomial model. Exchange Calculates the price and sensitivities of an Exchange option. ExchangeBin Calculates the price and sensitivities of an American or European Exchange option using a binomial model. ExchOnExch Calculates the price and sensitivities of an Exchange options on Exchange options. PortfolioBin Calculates the price and sensitivities of an American or European Portfolio option using a binomial model. Rainbow Calculates the price and sensitivities of a Rainbow option. RainbowBin Calculates the price and sensitivities of an American or European Rainbow option using a binomial model. Spread Calculates the price and sensitivities of a Spread option. SpreadBin Calculates the price and sensitivities of an American or European Spread option using a binomial model. TwoAssetCorr Calculates the price and sensitivities of a Two Asset Correlation option. Multiple Exercise Option Functions Chooser Calculates the price and sensitivities of a Chooser option. ComplexChooser Calculates the price and sensitivities of a Complex Chooser option. Compound Calculates the price and sensitivities of a partial-time end Barrier option. CompoundBin Calculates the price and sensitivities of an American or European Compound option using a binomial model. Executive Calculates the price and sensitivities of an Executive option. ForwardStart Calculates the price and sensitivities of a forward start option. TimeSwitch Calculates the price and sensitivities of a Time Switch option. WriterExtendible Calculates the price and sensitivities of a Writer Extendible option. OptionsMC Calculates the price and sensitivities of a standard European option using an antithetic Monte Carlo technique. Privacy Policy | Legal Notice Copyright ©2002 Derivicom Inc.