| Interest Rate Options |
 |
| THIzeroopt |
Price of a zero-coupon bond option |
| THIzerosens |
Sensitivities for a zero-coupon bond option |
| THIzeroimpv |
Implied volatility for a zero-coupon bond option |
| THIcapfloorlet |
Price of a caplet or floorlet |
| THIcapfloorletsens |
Sensitivities for a caplet or floorlet |
| THIcapfloorletimpv |
Implied volatility for caplets or floorlets |
| THIcapfloor |
Price of a cap or floor |
| THIcapfloorsens |
Sensitivities for a cap or floor |
| THIcapfloorimpv |
Implied volatility for caps or floors |
| THIgcapfloorlet |
Price of a generalized caplet or floorlet |
| THIgcapfloorletsens |
Sensitivities for a generalized caplet or floorlet |
| THIgcapfloorletimpv |
Implied volatility for generalized caplets or floorlets |
| THIgcapfloor |
Price of a generalized cap or floor |
| THIgcapfloorsens |
Sensitivities for a generalized cap or floor |
| THIgcapfloorimpv |
Implied volatility for generalized caps or floors |
| THIbdopt2 |
Price of a European bond option |
| THIbdsens2 |
Sensitivities for a European bond option |
| THIbdimpv2 |
Implied volatility for European bond options |
| THIbdopt3 |
Price of a European, Bermudan, or American bond option |
| THIbdsens3 |
Sensitivities for a bond option |
| THIbdimpv3 |
Implied volatility of a bond option |
| THIswaption |
Price of a European swaption |
| THIswaptionsens |
Sensitivities for European swaptions |
| THIswaptionimpv |
Implied volatility for a European swaption |
| THIswaptionhw |
Price of a European or Bermudan swaption |
| THIswaptnsenshw |
Sensitivities of a European or Bermudan swaption |
| THIswaptnimpvhw |
Implied volatility for a European or Bermudan swaption |
| THIswaptionfhw |
Price of a European, Bermudan, or American
swaption on a forward starting swap |
| THIswaptnfsenshw |
Sensitivities of a European, Bermudan, or
American swaption on a forward starting swap |
| THIswaptnfimpvhw |
Implied volatility for a European, Bermudan,
or American swaption on a forward starting swap |
| THIirconth |
Price of a binary interest rate option |
| THIirconthsens |
Sensitivities for a binary interest rate option |
| THIhwmc |
Construct transformed curves for Monte Carlo |
| THIirover |
Return Interest Rate Options module version information |
| Black-Derman-Toy Model |
|
| THIfreebdt |
Free BDT tree memory |
| THIbuildbdt |
Construct a BDT binomial tree |
| THIcalcbdt |
Recalculate a BDT binomial tree |
| THIcapivolts |
Constructs the implied volatility term
structure from a set of caps and or floors |
| THIcapivolts_free |
Free memory allocated by THIcapivolts |
| THIcapcalbdt |
Cap calibration of the BDT binomial tree |
| THIzeroopt_t |
Price of a zero-coupon bond option using the
BDT model |
| THIcapfloorlet_t |
Price of a caplet or floorlet using the BDT
model |
| THIcapfloor_t |
Price of a cap or floor using the BDT
model |
| THIswaption_t |
Price of a European or Bermudan swaption using
the BDT model |
| THIswaptnf_t |
Price of a European or Bermudan swaption
on a forward starting swap using the BDT model |
| Curve Building and Manipulation Functions |
|
| THIdfcurve |
Construct a discount factor curve |
| THIalloccurve |
Allocate memory for curves |
| THIcopycurve |
Make a copy of a curve |
| THIfreecurve |
Destroy a curve |
| THIcrvdirect |
Put user-specified curve data in THICURVE format |
| THIcrvfwd |
Convert to a forward rate curve |
| THIcrvspot |
Convert to a spot rate curve |
| THIcrvdf |
Convert to a discount factor curve |
| THIcrvgetdf |
Obtain discount factor |
| THIcrvgetrate |
Obtain rate from curve |
| THIcrvperiod |
Create periodic discount factor curve |
| THIcrvinsert |
Insert dates into discount factor curve |
| THIcrvshift |
Shift term structure |
| THIcrvshiftw |
Shift window in term structure |
| THIcrvpivot |
Pivot the term structure |
| THIfraprice |
Price of a forward rate agreement |
| THIbpr2 |
Bond price given discount curve |
| THIbspread |
Spread over yield curve |
| THIbcspread |
Coupon spread over yield curve |
| THIbradypr2,
THIbradypr2s |
Brady bond price off of yield curves |
| THIbradysprd |
Sovereign spread of a Brady bond |
| THIfbradypr,
THIbradypr2s |
Floating rate Brady bond price |
| THIfbradysprd |
Sovereign spread of floating rate Brady bonds |
| THIcurvever |
Return Curve Building & Manipulation module version information |
