A List of the Financial Routines

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Analytic Methods for Equity Derivatives

opt_bs
opt_black_approx
opt_RGW_approx
opt_BW_approx
opt_lookback
opt_exchange
opt_bs_barrier_downin
opt_bs_barrier_downout
opt_rainbow_bs_2d

Lattice Methods for Equity Derivatives

opt_bin
opt_bin_div
opt_bin2
opt_lattice_lookback
opt_lattice_exchange
opt_rainbow_2d_lattice

Finite Difference Grid Methods for Equity Derivatives

opt_gfd
opt_gfd_div
opt_gfd_vol
opt_downout_call
opt_double_knockout_call

Analytic Methods for Interest Rate Derivatives

opt_hw_zcoupon
opt_hw_coupon
bond_cir

Lattice Methods for Interest Rate Derivatives

opt_hw_lattice
opt_cir_lattice

Volatility Estimation

opt_hist_vol
opt_bs_impv
opt_bin_impv
opt_bin_div_impv
opt_bin2_impv

Portfolio Selection

portfolio
portfolio_markowitz