IBM InfoSphere Streams Version 4.1.1

Namespace com.ibm.streams.financial.analytics.option

SPL standard and specialized toolkits > com.ibm.streams.financial 2.0.0 > com.ibm.streams.financial.analytics.option

The Financial Services Toolkit contains two operators that can be used for pricing of equity options. These operators wrapper pricing engines are part of the QuantLib software package (Version 0.9.7).

The options pricing operators are provided for use in streams processing applications, but they also serve as examples. The operators illustrate how you can:
  • Wrapper your own library of existing "quant" functions to enable them for use in streams processing applications.
  • Wrapper other functions in QuantLib for use in your streams processing applications.

Operators

  • AmericanOptionValue: The AmericanOptionValue type-specific operator is for computing the value of "American-style" options.
  • EuropeanOptionValue: The EuropeanOptionValue type-specific operator is for computing the value of "European-style" options.