@ENERGY/Basics values common exchange-traded and over-the-counter derivatives.
- Forwards: Standard forward contracts
- Index swaps: Fixed-for-float index swaps
- Index swap options: Standard options on an index swap
- Exotic swaps: Participating, double-up and extendable.
- American and European options: Single period and strips, including strips
of daily
- Average-price options: Single period and strips of Asian options
- Average-strike options: Single period and strips of Asian-strike options
- Forward-start options: Strips of Gas Daily options
- Barrier options: Single and multi-trigger barrier options
- Digital options: Single and multi-trigger digital options
- Swaptions: Single commodity swaptions
- Lookback options: European and American lookback options
- Variable-quantity options: Options with price and quantity risks, such as
volumetric production payments
@ENERGY/Basics also calibrates model parameters using market prices.
- Model calibration: Calibrate price process model parameters such as jumps
and mean reversion
- Volatility smile calibration: Calibrate volatility smile by strike price,
moneyness and delta
- Price simulation utility: Simulate prices from various price process models,
including Black-style, mean-reverting, truncated distribution, jump diffusion
and regime switching jump diffusion
View the @ENERGY/Basics product profile .
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Please also refer to our other @ENERGY modules:
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