On this page are links to some financial related web tools.
Some of the pages on this site got a mention in Wikipedia. Please click here and here to find out more. Credit Derivative

Credit Derivative Related
 CDO Tranche Price the loss protection of a CDO Tranche and also computes the par premium.
 CDS Spread Compute the Credit Default Swap premiums (spreads) from a given series of cumulative default probabilities.
 Default Probabilities Compute the conditional default probability of a credit from its Credit Default Swap premiums (spreads).
 Distribution of no of defaults Generate the distribution of number of defaulted credits in a basket by simulation.
 NTh To Default Price an Nth to default basket by simulation.
 Portfolio Default Swap Find the expected loss of a tranche by simulation.
 Fixed Income

Fixed Income
 A simple Bond calculator A calculator to compute the price, modified duration and Macaulay duration of a bond with a given yield.
 Conversion Factor Compute the conversion factor of a deliverable bond.
 Date Generator Generate a set of dates with given period, roll date and stub.
 Forward Rate Compute forward rate over two given time.
 Yield To Maturity Compute the yield to maturity of a bond.
 Forex

Forex
 FX Forward
 FX Target Redemption Note Price a FX TARN by simulation.
 Interest Rate

Interest Rate Related
 BlackDermanToy (BDT) Short Rate Tree
 Interest rate derivatives valued using BDT short rate tree that is fitted to a given time dependent short rate volatility curve.
 Interest rate derivatives valued using BDT short rate tree that is fitted to volatility of initial zero rate curve.
 Caplet and Floorlet Price a caplet or floorlet using Black's model.
 A Rate conversion tool
 Coupon bond stripping Derive discount factors from a set of coupon bonds.
 Forward curve Compute the forward curve from a given zero curve.
 Forward Rate Agreement
 Hull White Trinomial Tree
 HullWhite model calculator A utility to compute the mean and variance of short rate and spot rate, when the short rate follows the HullWhite model.
 HullWhite Spot Rate Curve A utility to compute a spot rate curve implied by a short rate from the HullWhite model.

Libor Market Model (BGM model)
 Caplet/Floorlet Price a Caple/Floorlet by simulation using the Libor market model.
 Exotic Cap/Floor Price ratchet,sticky or vanilla Cap/Floor by simulation using the Libor market model.
 Single Trial One trial of simulation of forward rates using Libor market model.
 Mortgage Pass Throughs A utility to compute the cashflows of a mortgage with fixed repayment rate.
 Investment

Investment
 Monte Carlo

Monte Carlo Related
 Brownian Motion
 Coin Tossing Experiment
 Pseudo/Quasi Random Sequence Generate and plot Pseudo random numbers and Halton sequence.
 Simulations of short rates using the Hull White one factor model.
 Distrbution of price of zero coupon bond using the Hull White one factor model

Transition Matrix
Given a one step transition matrix P. Verify the two cases below give the same distibution of states at the nth step.
 Use the n step transition matrix P^{n}.
 Apply the one step tranisiton matrix n times.
 Options

Options
 American
 Asian
 Barrier

Double Barrier Option
 Ikeda and Kunitomo formula
 Monte Carlo
 Antoon Pelsser formula
 Look Barrier Option
 Soft Barrier Option
 Standard Barrier Option
 Partial Time Single Barrier Option
 Partial Time Two Asset Barrier Option
 Two Asset Barrier Option

Double Barrier Option
 Binary
 Bond
 European ShortTerm Bond Options Price short term bond option by Black76 model
 Currency
 Forward or Future
 Lookback
 Multi Assets
 Multi Exercises
 Plain Vanilla Options
 Five stick distribution
 Implied volatility Compute the implied volatility of an European option.
 Vanilla options and greeks Compute the price and greeks of an European option using the Black Scholes formula.
 Plain Monte Carlo Compute the price of an European option by plain Monte Carlo simulation.
 Binomial Tree
 Vanilla option on nondividend paying asset Compute the price of a European/American call/put option by a binomial tree.
 Risk
 Swap

Swap
 Par asset swap Value a par asset swap.
 Vanilla swap Value a vanilla interest rate swap.
 Par swap rate Compute the par swap rate for an vanilla swap.
 Variance swap Compute that par variance.
 Utilities

Utilities