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Coupon Bond |
Value; Accrued Interest; Price; Delta; Gamma; Theta |
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Coupon Bond Yield |
Continuously Compounded and Semiannually Compounded Yields to Maturity; Market and Model Values of Bond |
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Forward Contract |
Value; Delta; Theta; Rho; Lambda |
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Forward Price |
Delivery Price |
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Zero-Coupon Bond |
Value; Continuously Compounded Yield; Delta; Gamma; Theta |
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Amortizing Swap |
Value; Delta; Gamma; Theta |
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Amortizing Swap Rate |
Equilibrium Fixed Swap Rate; Market and Model Values of Swap |
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Fixed for Fixed Currency Swap |
Value; Delta and Gamma of Yield in each currency; Delta of each FX; Theta |
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Fixed for Fixed Currency Swap Rate |
Equilibrium Fixed Swap Rate; Market and Model Values of Swap |
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Fixed for Floating Currency Swap |
Value; Delta and Gamma of Yield in each currency; Delta of each FX; Theta |
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Fixed for Floating Currency Swap Rate |
Equilibrium Fixed Swap Rate; Market and Model Values of Swap |
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Forward Swap |
Value; Delta; Gamma; Theta |
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Forward Swap Rate |
Equilibrium Fixed Swap Rate; Market and Model Values of Swap |
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Swap |
Value; Delta; Gamma; Theta |
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Swap Rate |
Equilibrium Fixed Swap Rate; Market and Model Values of Swap |
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American Option |
Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call |
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European Option |
Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call |
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Implied Volatility for American Option |
Implied Volatility; Market and Model Values of Option |
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Implied Volatility for European Option |
Implied Volatility; Market and Model Values of Option |
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Average Price Option |
Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call |
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Barrier Option |
Value; Delta; Gamma; Theta; Vega; Rho; Lambda |
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Binary Barrier Option |
Value; Delta; Gamma; Theta; Vega; Rho; Lambda |
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Binary Strike Option |
Value; Delta; Gamma; Theta; Vega; Rho; Lambda |
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Compound Option |
Value; Delta; Gamma; Theta; Vega; Rho; Lambda |
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Exchange Option |
Value; Delta and Gamma of spot market value of each asset exchanged; Theta; Vega; Rho; Lambda |
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Lookback Option |
Value, Delta, Gamma, Theta, Vega, Rho, and Lambda computed for both Put and Call |
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Quanto Option |
Value; Delta; Gamma; Theta; Vega; Rho; Lambda; Vega FX; Lambda FX |
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Amortizing Caps and Floors |
Value, Delta, Gamma, Theta, and Vega computed for both Cap and Floor |
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Caps and Floors |
Value, Delta, Gamma, Theta, and Vega computed for both Cap and Floor |
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Caplets and Floorlets |
Value, Delta, Gamma, Theta, and Vega computed for both Caplet and Floorlet |
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European Zero-Coupon Bond Option |
Value, Delta, Gamma, Theta, and Vega computed for both Put and Call |
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Forward Caps and Floors |
Value, Delta, Gamma, Theta, and Vega computed for both Cap and Floor |
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Implied Volatility for Caps and Floors |
Implied Standard Deviation of Short Interest Rate; Market and Model Values of Contract |
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American Coupon Bond Option |
Value, Delta, Gamma, Theta, and Vega computed for both Put and Call |
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American Zero-Coupon Bond Option |
Value, Delta, Gamma, Theta, and Vega computed for both Put and Call |
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Bermudan Coupon Bond Option |
Value, Delta, Gamma, Theta, and Vega computed for both Put and Call |
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Swaption |
Value, Delta, Gamma, Theta, and Vega computed for both Pay Fixed and Receive Fixed swaptions |
