The FinOptions analytics library has a comprehensive set of functions for pricing, calculating sensitivities, and implied values of a wide array of exotic options. The FinOptions library includes functions for evaluating over 45 different types of exotic options divided into seven different categories: Asian, Barrier, Binary, Currency Translated, Lookback, Multiple Asset, and Multiple Exercise. All models unless otherwise specified evaluate European style options.
In the Barrier category there are 9 functions for evaluating different Barrier type options: Single Barrier, Single Barrier Trinomial, Double Barrier, Lookback Barrier, Partial Start Barrier, Partial End Barrier, Soft Barrier, Partial-Time Two Asset Barrier, and Two Asset Barrier.
In the Lookback category there are 6 functions for evaluating different Lookback type options: Extreme Spread, Floating Strike Lookback, Fixed Strike Lookback, Partial-time Fixed Strike Lookback, Partial-time Floating Strike Lookback, and Floating Strike Lookback with Monte Carlo.
In the Multiple Asset category there are 10 functions for evaluating different Multiple Asset type options: Dual-Strike (and Reverse Dual-Strike), Exchange, Exchange Binomial (American and European options), Exchange Options on Exchange Options, Portfolio (American and European options), Rainbow, Rainbow Binomial (American and European options), Spread, Spread Binomial (American and European options), and Two-Asset Correlation.
In the Multiple Exercise category there are 9 functions for evaluating different Multiple Exercise type options: Chooser, Complex Chooser, Compound, Compound Binomial (American and European options), Executive, Writer Extendible, Forward Start, Time Switch, and Standard European with Monte Carlo