FICC & Equity Pricing Functions
FICC and equity pricing functions are a set of financial-domain functions for multi-asset scenarios covering fixed income, interest rates, credit, commodities, foreign exchange, and equities. They are mainly used for curve/surface construction, financial instrument pricing, portfolio valuation, and common financial calculations.
This topic page groups related functions by asset class and functional type, helping you quickly locate the required builders, pricers, and utility functions when building multi-asset pricing, risk analysis, or quantitative finance applications.
| Type | Function Name | Description | |
|---|---|---|---|
| Bonds and Repos | Curve/Surface Construction | bondYieldCurveBuilder | Bond yield curve construction |
| Pricing | bondPricer | Bond pricing | |
| bondForwardPricer | Bond forward pricing | ||
| stdBondForwardPricer | Standard bond forward pricing | ||
| bondFuturesPricer | Treasury bond futures contract pricing | ||
| bondOutrightRepoPricer | Bond outright repo pricing | ||
| bondPledgedRepoPricer | Bond pledged repo contract pricing | ||
| Interest Rates | Curve/Surface Construction | irSingleCurrencyCurveBuilder | Single-currency interest rate swap yield curve construction |
| irCrossCurrencyCurveBuilder | Cross-currency interest rate swap yield curve construction | ||
| irCapFloorVolatilitySurfaceBuilder | Interest rate cap/floor option volatility surface construction | ||
| irSwaptionVolatilityCubeBuilder | Interest rate swaption volatility cube construction | ||
| Pricing | irDepositPricer | Deposit pricing | |
| irForwardRateAgreementPricer | Forward rate agreement pricing | ||
| irFixedFloatingSwapPricer | Fixed-floating interest rate swap pricing | ||
| irCapFloorPricer | Interest rate cap/floor option pricing | ||
| irEuropeanSwaptionPricer | European interest rate swaption pricing | ||
| Credit | Curve/Surface Construction | creditCurveBuilder | Credit curve construction |
| Pricing | creditDefaultSwapPricer | Credit default swap pricing | |
| Commodity Futures | Curve/Surface Construction | cmFutVolatilitySurfaceBuilder | Commodity futures option volatility surface construction |
| Pricing | cmFutEuropeanOptionPricer | Commodity futures European option pricing | |
| cmFutAmericanOptionPricer | Commodity futures American option pricing | ||
| Foreign Exchange | Curve/Surface Construction | fxVolatilitySurfaceBuilder | FX volatility surface construction |
| Pricing | fxForwardPricer | FX forward contract pricing | |
| fxNonDeliverableForwardPricer | FX non-deliverable forward contract pricing | ||
| fxSwapPricer | FX swap pricing | ||
| fxEuropeanOptionPricer | FX European option pricing | ||
| fxDigitalOptionPricer | FX digital option pricing | ||
| fxRangeAccrualOptionPricer | FX range accrual option pricing | ||
| Equity | Curve/Surface Construction | eqDividendCurveBuilder | Equity dividend curve construction |
| eqVolatilitySurfaceBuilder | Equity option volatility surface construction | ||
| eqProxyVolatilitySurfaceBuilder | Equity proxy volatility surface construction | ||
| Pricing | eqEuropeanOptionPricer | Equity European option pricing | |
| eqAmericanOptionPricer | Equity American option pricing | ||
| eqDigitalOptionPricer | Equity digital option pricing | ||
| eqRangeAccrualOptionPricer | Equity range accrual option pricing | ||
| Special Pricing Functions | instrumentPricer | Prices one or more financial contracts, which may be of the same or different types | |
| portfolioPricer | Portfolio pricing | ||
| Calculators | impliedRepoRateCalculator | Implied repo rate calculation for treasury bond futures | |
| bondInstrumentCalculator | Bond calculator that converts among bond yield to maturity (ytm), clean price, and dirty price, and also calculates risk metrics such as duration and convexity | ||
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Real-Time Streaming Engines |
Real-time curve/surface construction streaming engine |
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Real-time pricing streaming engine |
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| Utilities | yearFrac | Annualized time calculation | |
| dateGenerator | Date generation | ||
| scheduleGenerator | Schedule generation | ||
| curvePredict | Curve value prediction at specified points | ||
| optionVolPredict | Volatility prediction at specified points | ||