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
• Bergomi 2 factors

2) Interest rates

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

• Static replication on Libor, CMS or Bond
• 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
• Heston - Local Stochastic Volatility / Hull-White 2 factors (G2++)
• 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.