Extensive pricing and sensitivity analysis of interest rate options, with comprehensive coverage of caplets, floorlets, caps, floors, options on bonds (including zeroes), and swaptions. Ho-Lee, Hull-White and Black models are all fully supported, including Bermudan swaptions and bond options. The Black-Derman-Toy model is supported as well.
Included are advanced features such as convexity correction and turn
of year effects and supports the latest methods of interpolation. Capable of
constructing yield curves from combinations of spot rates, futures, par swap
rates, par bond yields.