Choose Instruments, Models, and Pricers

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate instruments; equity, commodity, or FX instruments; or credit derivative instruments.

Interest-Rate Instruments with Associated Models and Pricers

The following table lists the interest-rate instrument objects with models and pricers.

Interest-Rate Instrument Type	Available Models	Available Pricers
`Cap`	`HullWhite` `BlackKarasinski` `Black` `Normal`	`HullWhite` for `HullWhite` model `Black` for `Black` model `Normal` for `Normal` model `IRTree` for `HullWhite` or `BlackKarasinski` models
`Floor`	`HullWhite` `BlackKarasinski` `Black` `Normal`	`HullWhite` for `HullWhite` model `Black` for `Black` model `Normal` for `Normal` model `IRTree` for `HullWhite` or `BlackKarasinski` models
`Swaption`	`HullWhite` `BlackKarasinski` `Black` `SABR` `Normal`	`HullWhite` for `HullWhite` model `Black` for `Black` model `SABR` for `SABR` model `Normal` for `Normal` model `IRTree` for `HullWhite` or `BlackKarasinski` models
`FixedBondOption`	`HullWhite` `BlackKarasinski`	`IRTree` for `HullWhite` or `BlackKarasinski` models
`OptionEmbeddedFixedBond`	`HullWhite` `BlackKarasinski`	`IRTree` for `HullWhite` or `BlackKarasinski` models
`OptionEmbeddedFloatBond`	`HullWhite` `BlackKarasinski`	`IRTree` for `HullWhite` or `BlackKarasinski` models
`Swap`	`ratecurve` object `HullWhite` `BlackKarasinski`	`Discount` `IRTree` for `HullWhite` or `BlackKarasinski` models
`FixedBond`	Use a `ratecurve` object for a `Discount` pricer. Use a `HullWhite` or `BlackKarasinski` model for an `IRTree` pricer.	`Discount` `IRTree` for `HullWhite` or `BlackKarasinski` models
`FloatBond`	Use a `ratecurve` object for a `Discount` pricer. Use a `HullWhite` or `BlackKarasinski` model for an `IRTree` pricer.	`Discount` `IRTree` for `HullWhite` or `BlackKarasinski` models
`FloatBondOption`	Use a `ratecurve` object for a `Discount` pricer. Use a `HullWhite` or `BlackKarasinski` model for an `IRTree` pricer.	`Discount` `IRTree` for `HullWhite` or `BlackKarasinski` models
`Deposit`	Use a `ratecurve` object.	`Discount`
`FRA`	Use a `ratecurve` object.	`Discount`

Equity, Commodity, and FX Instruments with Associated Models and Pricers

The following table lists the equity, commodity, FX instrument objects with models and pricers.

Equity, Commodity, FX Instrument Type	Available Models	Available Pricers
`Asian`	`BlackScholes` `Heston` `Merton` `Bates`	`Levy` for `BlackScholes` model `KemnaVorst` for `BlackScholes` model `TurnbullWakeman` or `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bates` models
`Barrier`	`BlackScholes` `Heston` `Merton` `Bates`	`BlackScholes` for `BlackScholes` model `VannaVolga` for `BlackScholes` model `FiniteDifference` for `BlackScholes`, `Heston`, `Merton`, `Bates` models `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bates` models
`DoubleBarrier`	`BlackScholes` `Heston` `Merton` `Bates`	`IkedaKunitomo` for `BlackScholes` model `VannaVolga` for `BlackScholes` model `FiniteDifference` for `BlackScholes`, `Heston`,,`Merton`, or `Bates` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bates` models
`Lookback`	`BlackScholes` `Heston` `Merton` `Bates`	`ConzeViswanathan` for `BlackScholes` model `GoldmanSosinGatto` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bates` models
`Spread`	`BlackScholes`	`Kirk` `BjerksundStensland` `AssetMonteCarlo`
`VarianceSwap`	`ratecurve` object `Heston`	For `ratecurve` object: `ReplicatingVarianceSwap` For `Heston` model: `Heston`
`Vanilla`	`BlackScholes` `Heston` `Merton` `Bates` `Dupire`	For `BlackScholes` model: `BlackScholes` `VannaVolga` `BjerksundStensland` `RollGeskeWhaley` `FiniteDifference` `AssetMonteCarlo` For `Heston` model: `FFT` `FiniteDifference` `NumericalIntegration` `AssetMonteCarlo` For `Merton` model: `FFT` `FiniteDifference` `NumericalIntegration` `AssetMonteCarlo` For `Bates` model: `FFT` `FiniteDifference` `NumericalIntegration` `AssetMonteCarlo` For `Dupire` model: `FiniteDifference`
`Touch`	`BlackScholes` `Heston` `Merton` `Bates`	`BlackScholes` for `BlackScholes` model `VannaVolga` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, or `Bates` models
`DoubleTouch`	`BlackScholes` `Heston` `Merton` `Bates`	`BlackScholes` for `BlackScholes` model `VannaVolga` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, or `Bates` models
`Binary`	`BlackScholes` `Heston` `Merton` `Bates`	`BlackScholes` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, or `Bates` models

Credit Derivative Instruments with Associated Models and Pricers

The following table lists the credit derivative instrument objects with models and pricers.

Credit Derivative Instrument Type	Available Models	Available Pricers
`CDS`	Use a `defprobcurve` object and a `ratecurve` object.	`Credit`
`CDSOption`	`CDSBlack`	`CDSBlack`

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