FITOB Webpage: Difference between revisions
Jump to navigation
Jump to search
(Created page with '{| border="0" cellspacing="50" cellpadding="1" ! Home ! Download ! Documentation ! Contact ! [[FITO…') |
No edit summary |
||
| Line 10: | Line 10: | ||
[[Image:Precice-logo.png|right]] | [[Image:Precice-logo.png|right]] | ||
FITOB is a toolbox. | 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. | ||
The main | The main features of FITOB are the following: | ||
* PDE and combination technique based financial contract pricing. | * 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. | * Script based product description (similar to the one described in [[FIDEUM Webpage|FIDEUM]]). | ||
* 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. | |||
* Monte-Carlo and LS-Monte-Carlo capabilities | * Monte-Carlo and LS-Monte-Carlo capabilities | ||
[[Category:Research]] | [[Category:Research]] | ||
Revision as of 11:05, 17 August 2011
| Home | Download | Documentation | Contact | Publications |
|---|
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. 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).
- 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.
- Monte-Carlo and LS-Monte-Carlo capabilities