WebCab Options and Futures Demo v2.5 (J2SE Edition)

## Package webcab.lib.finance.options.exotic

Finite Differencing and Monte Carlo pricing techniques for pricing (Exotic) Equity Options contracts in accordance with the Black-Scholes model.

See:
Description

Interface Summary
Boundaries: A general interface which must be implemented by any boundary class.
DirichletBoundaries: This interface allows the user to supply a custom boundary condition of Dirichlet type.
Function: Used in `ScenarioGrid`.
PayoffFunction: This interface must be implemented by all user supplied payoff functions.

Class Summary
BinaryPayoff: This class gives an implementation of PayoffFunction for a binary option.
BlackScholes: Within this class we enables the evaluation of standard exotic options (Asian, Lookback, Barrier, Parisian, Parasian) in accordance with the Black-Scholes model using Monte Carlo and Finite Differencing pricing techniques.
BlackScholesConstants: This enumeration class defines all constants required by the `BlackScholes` class.
Dirichlet: When providing a custom Dirichlet type boundary, the user can extend this class instead of implementing DirichletBoundaries directly, as there is no need to implement each time the `type` method which always returns BT_DIRICHLET.
ExoticOptionsConstants: This class defines constants used by the Exotic Options classes methods.
FiniteDifference: Within this class we offer methods by which any option contract can be priced in accordance with the Black-Scholes-Merton model when the contract payoff function and boundary conditions of the resulting price function are given using `setPayoffFunction` and `setBoundaries`.
MonteCarlo: This class evaluates the price and Greeks of Asian and Lookback of Exotic Options in accordance with the Black-Scholes model using Monte Carlo tecnhiques.
ScenarioGrid: Within this class we implement methods by which the Scenario Grid of an option can be evaluated.
SecondOrderBoundaries: This class informs the algorithms that a general boundary condition will be used.
SimpleBoundaries: This class is an implementation of the Dirichlet abstract classand provides boundary conditions for vanilla put and call options.
SimplePayoff: This class gives an implementation of PayoffFunction for the simple case of "vanilla" call and put options.
SpreadStrategyPayoff: This class gives an implementation of the PayoffFunction for a standard spread option strategy.
StraddleStrategyPayoff: This class gives an implementation of PayoffFunction for a standard straddle option strategy.
StrangleStrategyPayoff: This class gives an implementation of PayoffFunction for a standard strangle option strategy.
StronglyPathDependentPayoff: This class gives an implementation of PayoffFunction for standard strongly path dependent options.

Exception Summary
BlackScholesDemoException: This exception is thrown by the demo version of the BlackScholes class after the number of maximum method calls has been reached.
EvaluationException: This exception signals errors in the wrapper classes.
ExoticOptionsException: Generic Exotic Options exception, usually thrown to indicate errors in input values.
FiniteDifferenceDemoException: This exception is thrown by the demo version of the FiniteDifference class after the number of maximum method calls has been reached.
MonteCarloDemoException: This exception is thrown by the demo version of the MonteCarlo class after the number of maximum method calls has been reached.
ScenarioGridDemoException: This exception is thrown by the demo version of the ScenarioGrid class after the number of maximum method calls has been reached.

## Package webcab.lib.finance.options.exotic Description

Finite Differencing and Monte Carlo pricing techniques for pricing (Exotic) Equity Options contracts in accordance with the Black-Scholes model. Including European, Asian, American, Lookback, Bermuda and Binary Options using Monte Carlo and Finite Difference techniques.

### Detailed Description of the Functionality Provided

The Exotic Options module implements the following methods and procedures:

- Types of Options - Within this module we show explicitly how-to and offer practical advice on the valuation of Asian, American (single and multi-asset), Lookback, Bermuda, European (single and multi asset) and binary options using the Monty Carlo and Finite Difference techniques.
- Finite Difference Methods - powerful method for finding solutions of the Black-Scholes Equations

- Single Asset Options - We provide an explicit and fully implicit algorithms including a framework in which to measure stability issues under differing scenarios.
- Crank-Nicholson - is a fast and stable method for evaluating single asset option contracts
- Multi-Asset - Implement a general multidimensional finite-difference algorithm.
- American, Bermuda Options Modification - we apply the uccessive Over-relaxation' technique in order to value American and Bermuda options.
- Asian and Lookback - examples of how strongly path dependent options can be evaluated using Finite Difference methods is given.

- Monte Carlo - can be effectively applied to value a large range of option contracts.

- Flow implementation - including generation of normal variables and the simulation of the random walk and corresponding cash flows ensures that our implementation of this technique can be applied to value almost any option contract.
- Options on many underlying assets - Generate correlation random variable using Cholesky factorization in order to value options contract of European type which depend on many underlying assets.
- Control Structure - the user has full control over the number of simulations and/or the required precision.

### Classes contained within the Exotic Options module

- BlackScholes - Enables the evaluation of standard exotic options (Asian, Lookback, Barrier, Parisian, Parasian) in accordance with the Black-Scholes model using Monte Carlo and Finite Differencing pricing techniques.
- FiniteDifference - Offer methods by which any option contract can be priced in accordance with the Black-Scholes-Merton model. For convenience we also provide particular cases for Asian and Lookback Extoic options which already have the relevant payoff function and boundaries internally set.
- MonteCarlo - Enables the evaluation of the price and Greeks of Asian and Lookback of Exotic Options in accordance with the Black-Scholes model using Monte Carlo tecnhiques.
- ScenarioGrid - Implement methods by which the Scenario Grid of an option can be evaluated. A Scenario Grid's purpose is to show how the options value varies under changes of the underlying market variables.

WebCab Options and Futures Demo v2.5 (J2SE Edition)