The original work was started within FIDEUM project, and later extended so that FITOB came to life. FITOB is a toolbox made to price in a general way any financial contract. Similar to other commercial toolbox FITOB uses a script based description of the financial contract. FITOB uses the from SGpp package the combination grid (Combination Technique) and can use, if the user decides, the direct SGpp Black-Scholes solver (matrix free Krylov space solver on the hierarchical sparse grid basis). The main features of FITOB are the following:
- PDE and combination technique based financial contract pricing. The PDE is discretized with FD and multi-grid is used as a fast solver.
- Script based product description (similar to the one described in FIDEUM). These script descriptions allow early exercise definition and other transaction description as well.
- Different models equity and interest rate models are available and can be combined within one script. ( Log-Normal and Normal Brownian , Heston, CIR, Hull-White ).Since the interface to these models is rather simple, new models can be added easily to the toolbox.
- User-specific models (e.g., equity, interest rate) can be defined in the script file in a general way.
- Monte-Carlo and LS-Monte-Carlo capabilities. Using the same script description the user can compare PDE and MC based pricing results.