FITOB Webpage: Difference between revisions
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The original work was started within [http://www5.in.tum.de/wiki/index.php/FIDEUM FIDEUM] project, and later extended so that FITOB came to life. | The original work was started within [http://www5.in.tum.de/wiki/index.php/FIDEUM FIDEUM] project, and later extended so that FITOB came to life. | ||
FITOB is a toolbox made | 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 [http://www5.in.tum.de/SGpp/releases/index.html 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). | FITOB uses the from [http://www5.in.tum.de/SGpp/releases/index.html 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: | The main features of FITOB are the following: | ||
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* Script based product description (similar to the one described in [http://www5.in.tum.de/wiki/index.php/FIDEUM FIDEUM]). These script descriptions allow early exercise definition and other transaction description as well. | * Script based product description (similar to the one described in [http://www5.in.tum.de/wiki/index.php/FIDEUM 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 ). | * 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. | ||
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. | * Monte-Carlo and LS-Monte-Carlo capabilities. Using the same script description the user can compare PDE and MC based pricing results. | ||
[[Category:Research]] | [[Category:Research]] | ||
Latest revision as of 21:20, 28 November 2012
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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.