re : research library needed for netco louise ,
i spoke to a few people today . i found that most of research models have already been included in our migration plan . all models used by structuring groups and risk groups are already included . what i want to accomplish is to make sure we have the exhaustive list of models . the issue now is to get documentation for those models . i am not sure yet if the exotica library has been included in the migration plan . i will keep you updated .
thanks
zhiyong
- - - - - original message - - - - -
from : kitchen , louise
sent : tuesday , january 08 , 2002 5 : 17 pm
to : wei , zhiyong ; koehler , anne c .
cc : port , david
subject : re : research library needed for netco
anne
we need these for netco - is it too late ?
- - - - - original message - - - - -
from : wei , zhiyong
sent : tuesday , january 08 , 2002 12 : 00 pm
to : kitchen , louise ; koehler , anne c .
subject : research library needed for netco
louise ,
it needs source code and documentation for all exotica library functions . in addition , we need the excel add - in build environment for building the exotica dll and its help functionality . we need documentation for all models used by traders and risk managers . naveen has a list of those models . my group can help maintain those models and the exotica library and provide it expertise . i will help get a complete list of models used . following is the list of exotica functions .
thanks
zhiyong
list of exotica library functions
name description
agc asian option pricing using geometric conditioning approximation
amer american option valuation
amerb american option valuation using the binomial tree model
asn asian option using a fast approximation
asnsprd asian spread option
asnsprd 2 spread option on asian spread
astrip asian option on a strip that allows correlation to be specified
astrip 2 m asian option on a two - asset average
asv asian option using a fast volatility approximation
bascorr determines the correlation between two baskets of assets
basvol calculates approximate volatility for a basket of equities or commoditites
basvolt calculates approximate volatility for a basket of equities or commoditites that expire at different times
basvol 2 d calculates approximate volatility for a basket of two forward contracts
bost bost option ( pay at maturity european option )
brrr barrier option with risk parameters
cmpdv cmpdv option with two point volatility term structure
cod cash on delivery option
codprem cash on delivery option contingent premium
combopt combinations of european calls and puts : strangles , strangles and bull spreads
digital digital " cash or nothing " option
dstrip strip of daily options
eimpvol implied volatility of a european option using black - scholes formula
euro black - scholes european option valuation
euro _ equity black - scholes european option on stocks
euro _ forward balck model for european option on forward / futures contract
forexch options on currencies
impvolab implied volatility of an american option using binomial tree model
lkbk lkbk option analytical solution for continuous case
ostrip strip of daily fixed price ( fp ) or forward start ( fs ) options
ostripsprd strip of daily fixed price spread options
pplus european spread option between two baskets , combination of analytical method with 1 - d integration
quanto options on commodity with exchange rate risk
rbow rbow options : various dual commodity options
sprdopt european spread option
swaption option to enter a swap
xcap value an option on a strip ( call or put on a cap or floor )
xcol , xcol 2 , xcol 3 option on a collar . xcol 3 is the most flexible and updated version . it is the preferred function for pricing options of this kind
yrstrip annual strip of daily european options subject to daily , monthly , and yearly take contraints
re : research library needed for netco
louise ,
i spoke to a few people today . i found that most of research models have already been included in our migration plan . all models used by structuring groups and risk groups are already included . what i want to accomplish is to make sure we have the exhaustive list of models . the issue now is to get documentation for those models . i am not sure yet if the exotica library has been included in the migration plan . i will keep you updated .
thanks
zhiyong
- - - - - original message - - - - -
from : kitchen , louise
sent : tuesday , january 08 , 2002 5 : 17 pm
to : wei , zhiyong ; koehler , anne c .
cc : port , david
subject : re : research library needed for netco
anne
we need these for netco - is it too late ?
- - - - - original message - - - - -
from : wei , zhiyong
sent : tuesday , january 08 , 2002 12 : 00 pm
to : kitchen , louise ; koehler , anne c .
subject : research library needed for netco
louise ,
it needs source code and documentation for all exotica library functions . in addition , we need the excel add - in build environment for building the exotica dll and its help functionality . we need documentation for all models used by traders and risk managers . naveen has a list of those models . my group can help maintain those models and the exotica library and provide it expertise . i will help get a complete list of models used . following is the list of exotica functions .
thanks
zhiyong
list of exotica library functions
name description
agc asian option pricing using geometric conditioning approximation
amer american option valuation
amerb american option valuation using the binomial tree model
asn asian option using a fast approximation
asnsprd asian spread option
asnsprd 2 spread option on asian spread
astrip asian option on a strip that allows correlation to be specified
astrip 2 m asian option on a two - asset average
asv asian option using a fast volatility approximation
bascorr determines the correlation between two baskets of assets
basvol calculates approximate volatility for a basket of equities or commoditites
basvolt calculates approximate volatility for a basket of equities or commoditites that expire at different times
basvol 2 d calculates approximate volatility for a basket of two forward contracts
bost bost option ( pay at maturity european option )
brrr barrier option with risk parameters
cmpdv cmpdv option with two point volatility term structure
cod cash on delivery option
codprem cash on delivery option contingent premium
combopt combinations of european calls and puts : strangles , strangles and bull spreads
digital digital " cash or nothing " option
dstrip strip of daily options
eimpvol implied volatility of a european option using black - scholes formula
euro black - scholes european option valuation
euro _ equity black - scholes european option on stocks
euro _ forward balck model for european option on forward / futures contract
forexch options on currencies
impvolab implied volatility of an american option using binomial tree model
lkbk lkbk option analytical solution for continuous case
ostrip strip of daily fixed price ( fp ) or forward start ( fs ) options
ostripsprd strip of daily fixed price spread options
pplus european spread option between two baskets , combination of analytical method with 1 - d integration
quanto options on commodity with exchange rate risk
rbow rbow options : various dual commodity options
sprdopt european spread option
swaption option to enter a swap
xcap value an option on a strip ( call or put on a cap or floor )
xcol , xcol 2 , xcol 3 option on a collar . xcol 3 is the most flexible and updated version . it is the preferred function for pricing options of this kind
yrstrip annual strip of daily european options subject to daily , monthly , and yearly take contraints