3-in-1: COM, .NET and XML Web service Interest derivatives pricing framework: set contract, set vol/price/interest models and run MC. We also cover: Treasury bonds, Preis/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity.

Allgemeine Pricing Framework offers the following 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 Option, Parisian Option, Parasian Option, Forward and Future.

Interest Rate Models: Constant Spot Rate, Constant (in time) Yield curve, One factor stochastic models (Vasicek, Black-Derman-Toy (BDT), Ho & Lee, Hull and White), Two factor stochastic models (Breman & Schwartz, Fong & Vasicek, Longstaff & Schwartz), Cox-Ingersoll-Ross Equilibrium model, Spot rate model with automatic yield (Ho & Lee, Hull & White), Heath-Jarrow-Morton forward rate model, Brace-Gatarek-Musiela (BGM) LIBOR market model.

Preis Models: Constant Preis model, Allgemeine deterministic Preis model, Lognormal Preis model, Poisson Preis model.

Volatility Models: Constant Volatility Models, Allgemeine Deterministic Volatility model, Hull & White Stochastic model of the Variance, Hoston Stochastic Volatility model.

Monte Carlo Princing Engine: Evaluate Preis estimate accordance to number of iterations or maximum expected error. Evaluate the standard deviation of the Preis estimate, and the minimum/maximum expected Preis for a given confidence level.

This product also has the following technology aspects:

3-in-1: .NET, COM, and XML Web services - 3 DLLs, 3 API Docs,...
Extensive Client Examples (Delphi for .NET, C#, VB.NET)
ADO Mediator
Compatible Containers (Delphi 3-8, Delphi 2005, C++Builder, C++BuilderX, Office)