The FinancialDerivatives module provides convenient models for pricing financial derivatives in Julia.

AmericanOption(s, k, r, σ, t, call)

American option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• σ: volatility
• t: time to expiration
• call: 1 if call, -1 if put

AsianOption(s, k, r, σ, t, call)

Asian option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• σ: volatility
• t: time to expiration
• call: 1 if call, -1 if put

BlackKarasinski()

Black-Karasinski model.

BlackScholes()

Black-Scholes model.

BrennanSchwartz()

Brennan and Schwartz model.

CoxIngersollRoss()

Cox-Ingersoll-Ross model.

CoxRossRubinstein()

Cox-Ross-Rubinstein binomial model (aka Binomial options pricing model).

EuropeanOption(s, k, r, σ, t, call)

European option.

Arguments

• s: underlying price
• k: strike price
• r: risk-free interest rate
• σ: volatility
• t: time to expiration
• call: 1 if call, -1 if put

FXOption(s, k, r_d, r_f, σ, t, call)

Foreign exchange option.

Arguments

• s: underlying price
• k: strike price
• r_d: domestic risk-free interest rate
• r_f: foreign risk-free interest rate
• σ: volatility
• t: time to expiration
• call: 1 if call, -1 if put

GarmanKohlhagen()

Garman–Kohlhagen model.

InterestRateDerivative(k, r, σ, θ, t)

Interest rate derivative.

Arguments

• k: speed of reversion
• r: initial interest rate
• σ: instantaneous volatility
• θ: long term mean level
• t: time interval

JarrowRudd()

Jarrow-Rudd model.

LeisenReimer()

Leisen-Reimer binomial model.

LongstaffSchwartz()

Longstaff-Schwartz model.

RendlemanBartter()

Rendleman-Bartter model.

Tian()

Tian binomial model.

Vasicek()

Vasicek model.

evaluate(IRD, BrennanSchwartz(), n = 12)

Evaluate interest rate derivative IRD using BrennanSchwartz model.

Arguments

• IRD::InterestRateDerivative: interest rate derivative
• n: number of paths to simulate

evaluate(IRD, CoxIngersollRoss(), n)

Evaluate interest rate derivative IRD using CoxIngersollRoss model.

Arguments

• IRD::InterestRateDerivative: interest rate derivative
• n: number of paths to simulate

evaluate(O, RendlemanBartter(), k = 1, N = 1000)

Evaluate option O using RendlemanBartter model.

Arguments

• k:
• N:

evaluate(O, Tian(), N = 1000)

Evaluate option O using Tian binomial model.

Arguments

N: number of paths to simulate

evaluate(O, JarrowRudd(), risk_neutral = true, N = 1000)

Evaluate option O using JarrowRudd binomial model (defaults to the risk-neutral version).

Arguments

• O::Option: option
• risk_neutral: true if risk neutral, false if equal probability.
• N: number of paths to simulate

evaluate(O, CoxRossRubinstein(), N = 1000)

Evaluate option O using CoxRossRubinstein.

Arguments

• O::Option: option
• N: number of paths to simulate

evaluate(O, LeisenReimer(), N = 1001)

Evaluate option O using LeisenReimer binomial model.

Arguments

• N: number of paths to simulate, must be odd

evaluate(IRD, RendlemanBartter(), n = 12)

Evaluate interest rate derivative IRD using RendlemanBartter model.

Arguments

• n: number of paths to simulate

evaluate(IRD, BlackKarasinski(), n = 12)

Evaluate interest rate derivative using BlackKarasinski model.

Arguments

• IRD::InterestRateDerivative: interest rate derivative
• n: number of paths to simulate

evaluate(O, LongstaffSchwartz(), N = 1000, P = 10000)

Evaluate option O using LongstaffSchwartz binomial model.

Arguments

• N: number of paths to simulate
• P: number of periods

evaluate(IRD, Vasicek(), n = 12)

Evaluate interest rate derivative IRD using Vasicek model.

Arguments

• n: number of paths to simulate

evaluate(O, BlackScholes())

Evaluate option O using BlackScholes model.

Arguments

• O::Option: Option

evaluate(o)

Evaluate option o using Back-Scholes model as default valuation model.

evaluate(O::FXOption, GarmanKohlhagen())

Evaluate FX Option using GarmanKohlhagen model.

Arguments

• O::FXOption

Abstract type for derivative contract.

Abstract type for forward contract.

Abstract type for futures contract.

Abstract type for option.

Abstract type for swap.

Abstract type for swaption.