Vanilla Options functions deal with the valuation and risk management of vanilla options. Features include the ability to:

• Value options written on stocks, currency, and commodities.
• Value European, Bermudan, and American Options.
• Determine the full range of option sensitivities ("Greeks").
• Value the implied volatility, implied spot, and implied strike for all options.
• Value warrants and executive stock options.
• Incorporate discrete and continuous dividends.

Bond Pricing functions provide the valuation and risk management for a wide range of debt securities, including at least 20 sovereign issues, discount securities, floating rate notes, and money market instruments. Features include the ability to:

• Price corporate and Government bonds.
• Price instruments with exact or equal coupon payments.
• Price instruments with amortizing and accreting face values.
• Calculate equivalent yields for all bond types.
• Incorporate a number of valuation approaches for standard FRN's.
• Determine the full set of risk measures.

Swap Pricing functions support the valuation and risk management of interest rate swaps, commodity swaps, and cross currency swaps. Swap Pricing also includes a model for constructing an integrated zero curve based on input cash rates, futures prices and swap rates. Features include the ability to:

• Price interest rate swaps, commodity swaps, and cross-currency swaps.
• Price swaps with amortizing and accreting notionals.
• Compute par swap rates.
• Zero curve construction based on a range of possible inputs.
• Several interpolation methods supported.
• Price a generic bond using the constructed zero curve.
• Generate projected coupon payments, or enter a customized deal.

IRO options functions deal with the valuation and risk management for a wide range of interest rate options. These include the simple closed-form models for FRA's, caps and floors, and European bond options and swaptions, as well as term structure models for Bermudan/American swaptions, bond options, and callable bonds. IRO options also includes an integrated zero curve model. Other features include the ability to:

• Value normal and log-normal term structure models, with a provision for mean reversion.
• Value European caps, floors, and swaptions, using either the adjusted Black model or a term structure model.
• Value American and Bermudan options using term structure models implemented in a stable and efficient trinomial tree.
• Calibrate the chosen term structure model to market data.

Exotics options functions consider the valuation and risk management of a wide range of exotic options, which are listed below:

• Asian options
• Single barrier and double barrier options
• Digital (binary) options
• Digital barrier options
• Chooser options
• Lookback options
• Extendible options
• Options on multiple assets
• Spread options