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; inflation 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` `BlackDermanToy` `Black` `Normal` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `CoxIngersollRoss` `LinearGaussian2F`	`HullWhite` for `HullWhite` model `Black` for `Black` model `Normal` for `Normal` model `IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`CMS`	`CMSConvexityHull`	`CMSConvexityHull`
`CMSNote`	`CMSConvexityHull`	`CMSConvexityHull`
`Floor`	`HullWhite` `BlackKarasinski` `BlackDermanToy` `CoxIngersollRoss` `Black` `Normal` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `LinearGaussian2F`	`HullWhite` for `HullWhite` model `Black` for `Black` model `Normal` for `Normal` model `IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`Swaption`	`HullWhite` `BlackKarasinski` `BlackDermanToy` `CoxIngersollRoss` `Black` `SABR` `Normal` `LinearGaussian2F`	`HullWhite` for `HullWhite` model `Black` for `Black` model `SABR` for `SABR` model `Normal` for `Normal` model `IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, or `LinearGaussian2F` models
`FixedBondOption`	`HullWhite` `BlackKarasinski` `BlackDermanToy` `CoxIngersollRoss` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `LinearGaussian2F`	`IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`OptionEmbeddedFixedBond`	`HullWhite` `BlackKarasinski` `BlackDermanToy` `CoxIngersollRoss` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `LinearGaussian2F`	`IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`OptionEmbeddedFloatBond`	`HullWhite` `BlackKarasinski` `BlackDermanToy` `CoxIngersollRoss` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `LinearGaussian2F`	`IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`Swap`	`ratecurve` object `HullWhite` `BlackKarasinski` `BlackDermanToy` `CoxIngersollRoss` `LinearGaussian2F`	`Discount` `IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, or `LinearGaussian2F` models
`FixedBond`	Use a `ratecurve` object for a `Discount` pricer. Use one of the following models: `HullWhite` `BlackDermanToy` `CoxIngersollRoss` `BlackKarasinski` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `LinearGaussian2F`	`Discount` `IRTree` for `HullWhite`, `BlackDermanToy`, `CoxIngersollRoss`, or `BlackKarasinski` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`FloatBond`	Use a object for a `Discount` pricer. Use one of the following models: `HullWhite` `BlackDermanToy` `CoxIngersollRoss` `BlackKarasinski` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `LinearGaussian2F`	`Discount` `IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`FloatBondOption`	Use a `ratecurve` object for a `Discount` pricer. Use one of the following models: `HullWhite` `BlackDermanToy` `CoxIngersollRoss` `BlackKarasinski` `BraceGatarekMusiela` `SABRBraceGatarekMusiela` `LinearGaussian2F`	`Discount` `IRTree` for `HullWhite`, `BlackKarasinski`, `CoxIngersollRoss`, or `BlackDermanToy` models `IRMonteCarlo` for `HullWhite`, `BlackKarasinski`, `BraceGatarekMusiela`, `SABRBraceGatarekMusiela`, or `LinearGaussian2F` models
`ConvertibleBond`	`BlackScholes`	`FiniteDifference` for `BlackScholes` model
`Deposit`	Use a `ratecurve` object.	`Discount`
`FRA`	Use a `ratecurve` object.	`Discount`
`OvernightIndexedSwap`	Use a `ratecurve` object.	`Discount` `irbootstrap` for curve construction
`STIRFuture`	Use a `ratecurve` object.	`Discount` `irbootstrap` for curve construction
`OISFuture`	Use a `ratecurve` object.	`Discount` `irbootstrap` for curve construction
`BondFuture`	Use a `ratecurve` object.	`Future`

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

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

Equity, Commodity, FX Instrument Type	Available Models	Available Pricers
`Asian`	`BlackScholes` `Heston` `Merton` `Bates` `RoughBergomi` `RoughHeston`	`Levy` for `BlackScholes` model `AssetTree` for a Cox-Ross-Rubinstein (CRR), equal-probability (EQP), Leisen-Reimer (LR), or Standard Trinomial (ST) lattice tree using a `BlackScholes` model `KemnaVorst` for `BlackScholes` model `TurnbullWakeman` or `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bates` models `RoughVolMonteCarlo` for `RoughBergomi` or `RoughHeston` models
`Barrier`	`BlackScholes` `Heston` `Merton` `Bates`	`BlackScholes` for `BlackScholes` model `AssetTree` for a Cox-Ross-Rubinstein (CRR), equal-probability (EQP), Leisen-Reimer (LR), or Standard Trinomial (ST) lattice tree using a `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 `AssetTree` for a Cox-Ross-Rubinstein (CRR), equal-probability (EQP), Leisen-Reimer (LR), or Standard Trinomial (ST) lattice tree using a `BlackScholes` model `GoldmanSosinGatto` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bates` models
`PartialLookback`	`BlackScholes` `Heston` `Merton` `Bates`	`HeynenKat` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bates` models
`Spread`	`BlackScholes` `Bachelier`	For `BlackScholes` model: `Kirk` `BjerksundStensland` `AssetMonteCarlo` For `Bachelier` model: `AssetMonteCarlo`
`VarianceSwap`	`ratecurve` object `Heston`	For `ratecurve` object: `ReplicatingVarianceSwap` For `Heston` model: `Heston`
`CurrencySwap`	`ratecurve` object	`FXDiscount`
`Vanilla`	`BlackScholes` `Bachelier` `Heston` `Merton` `Bates` `Dupire` `RoughBergomi` `RoughHeston`	For `BlackScholes` model: `BlackScholes` `VannaVolga` `BjerksundStensland` `RollGeskeWhaley` `FiniteDifference` `AssetMonteCarlo` `AssetTree` for a Cox-Ross-Rubinstein (CRR), equal-probability (EQP), Leisen-Reimer (LR), or Standard Trinomial (ST) lattice tree 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` For `Bachelier` model: `AssetMonteCarlo` For `RoughBergomi` or `RoughHeston` models: `RoughVolMonteCarlo`
`Touch`	`BlackScholes` `Heston` `Merton` `Bates`	`BlackScholes` for `BlackScholes` model `VannaVolga` for `BlackScholes` model `AssetMonteCarlo` for `Bachelier` model
`DoubleTouch`	`BlackScholes` `Heston` `Merton` `Bates`	`BlackScholes` for `BlackScholes` model `VannaVolga` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, or `Bates` models
`Cliquet`	`BlackScholes` `Heston` `Merton` `Bates` `RoughBergomi` `RoughHeston`	`Rubinstein` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, or `Bates` models `RoughVolMonteCarlo` for `RoughBergomi` or `RoughHeston` models
`Binary`	`BlackScholes` `Bachelier` `Heston` `Merton` `Bates` `RoughBergomi` `RoughHeston`	`BlackScholes` for `BlackScholes` model `AssetMonteCarlo` for `BlackScholes`, `Heston`, `Merton`, `Bachelier`, or `Bates` models `RoughVolMonteCarlo` for `RoughBergomi` or `RoughHeston` models
`CommodityFuture`	Use a `ratecurve` object.	`Future`
`FXFuture`	Use a `ratecurve` object.	`Future`
`EquityIndexFuture`	Use a `ratecurve` object.	`Future`
`ConvertibleBond`	`BlackScholes`	`FiniteDifference` for `BlackScholes` model

Inflation Instruments with Associated Models and Pricers

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

Inflation Instrument Type	Available Models	Available Pricers
`InflationBond`	Use an `inflationcurve` object and a `ratecurve` object.	`Inflation`
`YearYearInflationSwap`	Use an `inflationcurve` object and a `ratecurve` object. Use a `JarrowYildirim` object and a `ratecurve` object.	Use `Inflation` pricer with `inflationcurve` model. Use `JarrowYildirim` pricer with `JarrowYildirim` model.
`ZeroCouponInflationSwap`	Use an `inflationcurve` object and a `ratecurve` object. Use a `JarrowYildirim` object and a `ratecurve` object.	Use `Inflation` pricer with `inflationcurve` model. Use `JarrowYildirim` pricer with `JarrowYildirim` model.
`YearYearInflationCap`	Use a `JarrowYildirim` object and a `ratecurve` object.	`JarrowYildirim`
`YearYearInflationFloor`	Use a `JarrowYildirim` object and a `ratecurve` object.	`JarrowYildirim`
`ZeroCouponInflationCap`	Use a `JarrowYildirim` object and a `ratecurve` object.	`JarrowYildirim`
`ZeroCouponInflationFloor`	Use a `JarrowYildirim` object and a `ratecurve` object.	`JarrowYildirim`

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`