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.