FINCAD
対応金融商品・モデル
| 広範囲な金融商品カバレッジ | |
|---|---|
| FI (Fixed Income) | IR (Interest Rate) |
| CR (Credit) | EQ (Equity) |
| FX (Foreign Exchange) | CD (Commodity) |
モデルと手法 |
|---|
| General Black Scholes Cox Rubenstein Heston Model SABR |
| Interest Rate Black Hull-White short rate (1- and 2-factor) Black-Karasinski short rate (1-factor) Two-Additive-Factor Gaussian short-rate LIBOR Market Model (BGM/J) |
| FX Garman Kohlhagen Cross currency multi-factor hybrid IR/FX |
| Credit Recursion method for CDOs Displaced Diffusion Model for CDS index options (Liu and Jackel) Gaussian Copula function model (Li) Multi-period Credit Index model (Hull-White) |
| General Calculation binomial & trinomial trees fast Fourier transform methods fast Fourier transform methods matrix methods (eigenvalues, Cholesky decomposition, inversion, etc) minimization algorithms (Levenberg-Marquardt, Downhill Simplex) Monte Carlo simulation (including Longstaff-Schwarz for early exercise) numerical integration (Gaussian quadrature, Simpson's method, etc) partial differential equations (PDEs)(PDE) regression (linear, polynomial) recursion methods (for synthetic CDOs) root-finding algorithms (Bisection, Newton-Raphson, Brent) (Bisection、Newton-Raphson、Brent) |
| Interest Rate Curves Swap Curves (OIS/LIBOR) Bond Curves Tax-Exempt (Municipal) Swap Curves Interest Rate Volatility Curves |