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, Prix/Yield, Zero Curve, Fixed-Interest bonds, Forward rates/FRAs, Duration and Convexity.

Général 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.

Prix Models: Constant Prix model, Général deterministic Prix model, Lognormal Prix model, Poisson Prix model.

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

Monte Carlo Princing Engine: Evaluate Prix estimate accordance to number of iterations or maximum expected error. Evaluate the standard deviation of the Prix estimate, and the minimum/maximum expected Prix 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 (C#, VB, C++,...)
ADO Mediator
Compatible Containers (VS 6, VS.NET, Office 97/2000/XP/2003, C++Builder, Delphi 3-2005)