C++ LOPOR

C++ Library for
Probability distributions
Option Pricing
Operational Risk
(2005)

  • Accessible for MS Visual C++ 6 (Windows) and Intel 8 (Linux).
  • Features:
    • Predefined Univariate probabilities: Beta, Normal, Lognormale ...
    • Predefined Multivariate probabilities: MultiNormal, NORTA ...
    • Fit
    • Monte-Carlo
    • Numerical Derivation/Integration
    • Equities derivatives
      • European and American Vanilla and Exotic options
      • Finite difference method
      • Binomail-Trinomial-Implied trees
      • Monte Carlo, particularly American options
    • Interest rate derivatives (in construction)

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