WebCab Bonds (J2EE Editio download

"General Interest Derivatives Pricing Framework"
General Interest derivatives pricing framework to set contract, set vol / price / interest models and run MC. Also covers: Treasury, Price / Yield, Zero Curve, Fixed Interest bonds, Forward rates / Fras, duration and convexity.
WebCab Bonds the following functionality:
General Interest Derivatives Pricing Framework
The following prices will apply the general framework of predefined models and Contracts:
Contracts: Asian Option, Binary Option, Cap, Coupon Bond, Floor, Forward Start stock option, Lookback Option, Ladder Option, Vanilla Swap, Vanilla Stock Option, Zero Coupon Bond, Barrier offers option Parasian Paris Option Option, Forward and Future.
Interest Rate Models: Constant Spot rate, yield curve, One factor stochastic models (Vasicek, Black-Derman-Toy (BDT), Lee Ho & time () Constant, Hull and White), Two factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz), Cox-Ingersoll-Ross Equilibrium model, Spot rate of auto-efficiency model (Ho & Lee, Hull & White), Heath - Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model.
Price Models: Constant price model, General deterministic price model, Lognormal price model, Poisson price model.
Volatility Models: Constant Volatility Models, General Deterministic Volatility model, Hull and Variance, Hoston Stochastic Volatility model. white stochastic model
After the contract and the price / interest / vol model combination provides Monte Carlo Pricing Engine is set to run:
Evaluate Price: The number of iterations or maximum expected error
Forecast Error: Evaluate price estimate and standard deviation and minimum evaluated according to the estimated price / maximum expected price for a certain confidence. You WebCab Bonds (J2EE Edition) 2.01 now you can download free.