Equities Derivatives

Black with one dividend payment

This contract uses a Black model with one dividend rate contribution.

Black

This contract is similar to the Black & Scholes Option but uses a forward asset price rather than a spot price.

Black with many dividend payments

This contract uses a Black model with a forward dividend position obtained from constant and proportional dividends.

Black & Scholes with Zero Coupon curve

This contract uses a Black Scholes model and a Zero Coupon rate.

Black & Scholes with Yieldcurve

This contract uses a Black & Scholes model with a full interest rate model.

Black & Scholes Bermudan

A contract valued with a Tree employing fixed and proportional dividends and exercise dates. The contract prices are priced in the Tree to maturity.

Black & Scholes Bermudan Structure

A contract valued with a Tree employing fixed and proportional dividends and exercise dates. The contract prices are priced analytically to maturity.

Black & Scholes American

A contract valued with a BAW approximation to determine the American Option.

Black & Scholes Asian

A contract valued with three approaches to deal with the Fixed and Floating discrete Asian options.

Black Scholes Margrabe

A contract valuing the option payoff of one asset price minus another.

Black Scholes Exchange Option

A contract valuing the option payoff of one asset minus another plus a strike.

GUIDANCE

Notice the large number of regular derivatives:

Pricing per bid / ask;

Delta per bid / ask (first option price asset price derivative);

Gamma per bid / ask (second option price asset price derivative);

Theta per bid / ask (time derivative for option);

Vega per bid / ask (volatility derivative for option price);

Rho per bid / ask (interest rate derivative for option price);

Phi per bid / ask (strike derivative for option price);

Notice also the unusual derivatives:

Volga per bid / ask (second option price volatility derivative);

Veta per bid / ask (mixed option price time / volatility derivative);

Vanna per bid / ask (mixed option price spot / volatility derivative);

Charm per bid / ask (mixed option price time / asset price derivative);

The USD, EUR, JPY and GBP nodes translate the positions into currency equivalence;
All columns and decimal places can be changed;
Positions of more than one asset / share can be calculated;
The actually dates are calculated;
For interest rates and volatility the data is in percentages whereas for strike and spot the data is in currency;
The dividend is calculated as an asset yield in presented in percentage;

The left hand properties allow: