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The Nematrian Function Library

Derivative Pricing Web Service Functions

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The Nematrian function library includes a range of tools for calculating prices and hedging parameters of different types of derivatives, given suitable user-supplied inputs to the relevant pricing algorithms.

 

The web functions available include ones set out in the table below. To see a complete list of functions currently available in the Nematrian online toolkit please go to list of types of available functions or complete list of individual functions.

 


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Web functionShort description of function
MnBSBinaryCallCharmReturns the 'Charm' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallColourReturns the 'Colour' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallDeltaReturns the 'Delta' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallGammaReturns the 'Gamma' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallPayoffReturns the 'Payoff' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallPriceReturns the 'Price' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallRhoDividendReturns the 'RhoDividend' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallRhoInterestReturns the 'RhoInterest' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallSpeedReturns the 'Speed' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallThetaReturns the 'Theta' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallVannaReturns the 'Vanna' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallVegaReturns the 'Vega' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryCallVolgaReturns the 'Volga' (a greek) of a binary call (in a Black-Scholes world)
MnBSBinaryPutCharmReturns the 'Charm' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutColourReturns the 'Colour' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutDeltaReturns the 'Delta' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutGammaReturns the 'Gamma' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutPayoffReturns the 'Payoff' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutPriceReturns the 'Price' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutRhoDividendReturns the 'RhoDividend' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutRhoInterestReturns the 'RhoInterest' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutSpeedReturns the 'Speed' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutThetaReturns the 'Theta' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutVannaReturns the 'Vanna' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutVegaReturns the 'Vega' (a greek) of a binary put (in a Black-Scholes world)
MnBSBinaryPutVolgaReturns the 'Volga' (a greek) of a binary put (in a Black-Scholes world)
MnBSCallReturns the value/price of a European-style call option (in a Black-Scholes world)
MnBSCallCharmReturns the Charm (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallColourReturns the Colour (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallDeltaReturns the Delta (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallGammaReturns the Gamma (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallPayoffReturns the Payoff (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallPriceReturns the Price (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallRhoDividendReturns the RhoDividend (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallRhoInterestReturns the RhoInterest (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallSpeedReturns the Speed (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallThetaReturns the Theta (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallVannaReturns the Vanna (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallVegaReturns the Vega (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSCallVolgaReturns the Volga (a greek) of a (vanilla) European-style call (in a Black-Scholes world)
MnBSPutReturns the value/price of a put option (in a Black-Scholes world)
MnBSPutCharmReturns the Charm (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutColourReturns the Colour (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutDeltaReturns the Delta (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutGammaReturns the Gamma (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutPayoffReturns the Payoff (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutPriceReturns the Price (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutRhoDividendReturns the RhoDividend (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutRhoInterestReturns the RhoInterest (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutSpeedReturns the Speed (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutThetaReturns the Theta (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutVannaReturns the Vanna (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutVegaReturns the Vega (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnBSPutVolgaReturns the Volga (a greek) of a (vanilla) European-style put (in a Black-Scholes world)
MnCCCallReturns the price of a European call under the 'cost of capital' model
MnCCPutReturns the price of a European put under the 'cost of capital' model
MnOptimisedTrinomialLatticeProbsReturns an array giving the optimised trinomial lattice movement probabilities
MnPVAnnuityCtsReturns the value of a continuously payable cash flow stream
MnPVSwapCtsReturns the value of a continuously payable swap
MnPVZeroReturns the value of a zero coupon bond

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