Key Features
| You can simulate prices, rates and FX using several different
processes: |
- Handles multiple underlying types of assets. General examples include equity, commodity/energy, currency, and interest rates.
- Handles multiple price processes based on standard market models: log-normal and normal, with and without mean reversion, and market-based models including a rolling prompt contract model and the Libor Market Model.
- Simulates up to 128 correlated underlyings with term structures of volatility and correlation.
- Allows the user to specify asset price curves in multiple formats:
forward prices, spot price with yields.
- Contract features include, for example:
Early exercise, including Bermuda and American options,
path dependent, including Asians, lookbacks, and barriers, and quanto features, and
optimization over flow volumes.
- Users can combine multiple instruments into a single valuation for aggregated price and risk measures.
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