

The following
features distinguish the shortrate models in APeX. 


Popular
1factor shortrate models: All LogNormal and Normal meanreverting
shortrate models: BlackDermanToy (BDT), BlackKarasinski
(BK), HullWhite (HW), HoLee (HL) models are supported. 


Volatility and meanreversion
curves: For each of the above models, the volatility (sigma)
and meanreversion (alpha) curves can be a flat number, driven
from the calibrated caplet curve, a result of calibration, or
provided by the user. 


Full
forward curve per node: The full forward curve for each
node is computed and cached once, obviating the need for repeated
backward induction. This greatly speeds up book pricing and
hedging. 


Variablelength
discretization: The latticedates can be selected by the
user, making the lattice perdeal or perbook. One can switch
from a fine (daily) to coarser discretization. 


Calibration:
Analytic or treebased calibration of the vol and meanreversion
curves. These curves can be defined to be flat, parametric:
e.g., weighted sum of orthogonal polynomials, or piecewise defined.
One can also suppress the meanreversion calibration by fixing
it at a specific level. 


Flexible tree class: The
underlying classes are flexible C++ tree classes, allowing the
user to build multinomial recombining or bushy trees for generic
financial quantities (short rate, forward curve, equities).
ArrowDebreu prices and transition probabilities between arbitrary
treedates are automatically computed and can be accessed. 




Copyright
© 2000 Panalytix, Inc., All rights reserved. 