Tools

Complex Asset Pricer

Swaptions, barrier and touch options, TARFs, two-asset options, inflation swaps and credit default swaps, each valued by every method that fits it: closed form, PDE grid and Monte Carlo simulation. Choose the terms, compare the methods and see the full set of Greeks.

Interest rates

European swaptionThe right to enter an interest-rate swap on one date.
Bermudan swaptionThe right to enter a swap on any of several dates.

FX

Target redemption forward (TARF)Monthly FX forwards that stop once gains reach a target.

Commodities

Single touch optionPays a fixed amount if the price touches a level, or never does.
Double touch optionPays depending on which of two levels the price touches.
Single barrier optionA call or put switched on or off by one level.
Double barrier optionA call or put with a level above and below the price.

Equities

Exchange optionThe right to swap one equity for another.
Spread optionA call or put on the difference between two equities.

Inflation

Zero-coupon inflation swapInflation against a fixed rate, settled once at maturity.

Credit

Credit default swapProtection against a borrower's default.

We price far more than what is shown here. For other products, talk to our team.

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Model values for illustration, from fixed market data. They are not quotes.

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