Available Functions

Navigation:  »No topics above this level«

Available Functions

Previous pageReturn to chapter overviewNext page

The 60+ financial functions that comprise the Derivicom analytics library have been engineered to empower your business to value a broad range of derivative instruments through any Microsoft COM compliant development environment, such as Visual Studio 2012. If you need value derivatives and are ready to experience the Derivicom difference, download your free trial today or explore the individual categories that ship as part of this software below.

 

 

Model

Exercise Type *

Vanilla Options

 

Black-Scholes

(A, E)

 

Black-Scholes-French

(A, E)

 

Whaley

(A)

 

Eurodollar

(A, E)

 

Binomial

(A, E)

 

Jump Diffusion

(E)

 

Bjerksund-Stensland

(A)

 

Roll-Geske-Whaley

(A)

 

Options with Monte Carlo

(E)

Asian Option Models

 

Average Price

(E)

 

Average Strike

(E)

 

Average Price with Monte Carlo

(E)

 

Two-Asset Asian Spread with Monte Carlo

(E)

Barrier Option Models

 

Single Barrier

(E)

 

Single Barrier Trinomial

(A, E)

 

Double Barrier

(E)

 

Lookback Barrier

(E)

 

Partial Start Barrier

(E)

 

Partial End Barrier

(E)

 

Soft Barrier

(E)

 

Partial-Time Two Asset Barrier

(E)

 

Two Asset Barrier

(E)

Binary Option Models

 

Asset-or-Nothing

(E)

 

Cash-or-Nothing

(E)

 

Two Asset Cash-or-Nothing

(E)

 

Gap

(E)

 

Supershare

(E)

 

Binary Barrier

(E)

Currency Translated Option Models

 

Equity Linked Foreign Exchange

(E)

 

Foreign Equity

(E)

 

Quanto

(E)

 

Takeover Foreign Exchange

(E)

Lookback Option Models

 

Extreme Spread

(E)

 

Floating Strike Lookback

(E)

 

Fixed Strike Lookback

(E)

 

Partial-time Fixed Strike Lookback

(E)

 

Partial-time Floating Strike Lookback

(E)

 

Floating Strike Lookback with Monte Carlo

(E)

Multiple Asset Option Models

 

Dual-Strike (and Reverse Dual-Strike)

(A, E)

 

Exchange

(A, E)

 

Exchange Binomial

(A, E)

 

Exchange Options on Exchange Options

(E)

 

Portfolio

(A, E)

 

Rainbow

(E)

 

Rainbow Binomial

(A, E)

 

Spread

(E)

 

Spread Binomial

(A, E)

 

Two-Asset Correlation

(E)

Multiple Exercise Option Models

 

Chooser

(E)

 

Complex Chooser

(E)

 

Compound

(E)

 

Compound Binomial

(A, E)

 

Executive

(E)

 

Forward Start

(E)

 

Time Switch

(E)

 

Writer Extendible

(E)

* Note: A - American exercise type, E - European exercise type