FITOB Webpage: Difference between revisions
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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 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. | ||
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* PDE and combination technique based financial contract pricing. The PDE is discretized with FD and multi-grid is used as a fast solver. | * 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 [ | * Script based product description (similar to the one described in [http://www5.in.tum.de/wiki/index.php/FIDEUM 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 ). | * 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 ). | ||
Revision as of 11:07, 17 August 2011
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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