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Implementation of an Interest Rate Swap with a Range Accrual clause. The coupon rate is defined as conditional average of the driver rate (e.g. the 6 months EUR-EURIBOR) during the interest accrual period (sampled with daily determination). The contract value is calculated using the Hull and White one-factor model and Fairmat function Imean. Download the example. -
Implementation of an Interest Rate Swap with Path Dependent option. The value of the contract does not depend on the final value of the underlying but on the whole path it will realize. The payoff is written taking advantage of the Fairmat recurrence function feature, and as driver we choose the Hull and White one factor model. Download the example. -
Implementation of an Index-Linked Swap on the Mib30. The underlying is modelled as a Geometric Brownian Motion. One party of the swap pays, at termination date, the ratio between the Index monthly arithmetic mean and its value at start date while the other party pays, annually, a fixed rate. Download the example. -
Implementation of an Interest Rate Swap with Callability clause, which allows the issuer to redeem the security prior to maturity by calling it in, or forcing the holder to sell it back. Download the example. -
Unit-linked fund investment modeling: the model represents the evolution of an investment in a given unit-linked financial product from the point of view of a reseller company. The model takes into account company's financial and insurance costs (initials and forwards) and OICR's fee and rebate, where the underlying asset is a generic "benchmark" fund. Moreover the contract considers a stochastic exit-penalty. The underlying fund is modeled as a Geometric Brownian Motion with a stochastic interest rate, that is modelled as a Pelsser Squared Gaussian model (it provides the advantage that the interest rates never become negative). Download the example. In order to evaluate the model, first you need to install Pelsser model and InformativaConsob plug-ins. InformativaConsob plug-in implements the CONSOB (Italian Securities and Exchange Commission) directive for the transparence of investments which is built on three pillars: the recommended investment horizon, the potential returns and the degree of risk associated (and, in the case of "benchmark" products, the management class in terms of deviation from the chosen benchmark) about an investment product. -
Implementation of a Napoleon option. This kind of option have an index as underlying and its payments are connected to the lower return observed during a certain period. In the example there are three annual payments which value is given by the lower monthly return observed in the year increased by 20% and with a floor at zero. The underlying is simulated through a geometric brownian motion. Download the example.
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