Pricing models.

In LexiFi Apropos all pricing models can be implemented through different methods, generating a wide spectrum of solutions.

An overview of implemented pricing methods can be found here .

1) Equities

All equity models support discrete and continuous dividends, with a term structure in the latter case, and quanto adjustments.

  • Static replication
  • Black Scholes
  • Local volatility
  • Heston (stochastic volatility)
  • Shifted Black
  • Heston - Local Stochastic Volatility
  • Merton Jump Model
  • Bates Jump Model
  • Rough Heston

2) Interest rates

All interest-rate models are delivered with calibration routines for cap/floor and swaption quotes.

  • Static replication on Libor or CMS
  • Hull-White 1 factor
  • Hull-White 2 factors (G2++)
  • Cheyette (quasi-Gaussian model)
  • Cheyette (stochastic local volatility model)
  • Lognormal forward-LIBOR model (LFM)
  • Lognormal forward-LIBOR + stochastic volatility model (LFM+SV)
  • Shifted-Lognormal forward-LIBOR model (SLFM)
  • Shifted-Lognormal forward-LIBOR model + stochastic volatility (SLFM+SV)
  • Cap CMS Closed form (Hagan)

3) Inflation

  • Static replication on Index and YoY
  • Jarrow-Yildirim
  • Heston local volatility on Inflation Index

4) Foreign exchange

  • Static replication
  • FX Option Closed Form
  • Garman-Kohlhagen
  • Hull-White 1 factor + Garman-Kohlhagen
  • Heston - Local Stochastic Volatility

5) Commodities

  • Static replication
  • Schwartz 1 factor
  • Schwartz 2 factors
  • Gabillon
  • Clewlow-Strickland
  • Clewlow-Strickland Stochastic Volatility
  • Forward curve building

6) Credit

  • Deterministic intensity
  • Intensity with copula
  • CDS , CDS Tranches pricer and CDS Swaption pricer

7) Hybrids

  • Generic hybrid: equity / interest rate / exchange rate / inflation / credit / commodity
  • Heston - Local Stochastic Volatility
  • Equity Local Volatility / Garman-Kohlhagen
  • Heston - Local Stochastic Volatility / Hull-White
  • Hull-White 2 factors / Garman-Kohlhagen
  • Deterministic
  • Priips
  • Time series
  • Multi dimensional static replication

An extended version of this list of available pricing models can be found here . This document contains more information about implementation choices or details for each model and includes the factor stochastic equations.