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.