Library | BarraOne Instrument Types

BarraOne Instrument Types

Interest Rate | Fixed Income | Equity | Foreign Exchange | Other Instruments

Instrument (Market)	Data Source	Option Types	Pricing Method	Pricing Model
Eurodollar Future	Bloomberg Importable	N/A	Cost of Carry	N/A
Eurodollar Future Option	Bloomberg Importable	European	Closed Form	Black 1976
Eurodollar Future Option	Bloomberg Importable	European Asian	Approximation	Asian
Interest Rate Swap (Vanilla and Basis)	Importable	N/A	Discounted Cash Flow	N/A
Currency Swap	Importable	N/A	Discounted Cash Flow	N/A
Zero Coupon Swap	Importable	N/A	Discounted Cash Flow	N/A
Overnight Index Swap (AUD, CAD, EUR, NZD, SEK, GBP, USD, CHF, DKK, and JPY currencies)	Importable	N/A	Discounted Cash Flow	N/A
Inflation Swap (Capital Index - EMU, U.K., Canada, U.S., Sweden, Australia, New Zealand, South Africa)	Importable	N/A	Discounted Cash Flow (with Barra-provided real term structure)	N/A
Cap/Floor	Importable	N/A	Closed Form (Modeled as a series of European-style put/call options)	Black (1976)
Total Return Swap (Equity and Fixed Income)	Importable	N/A	Discounted Cash Flow	Replicating portfolio
Credit Default Swap Credit Default Swap Basket Credit Linked Note	Importable	N/A	Discounted Cash Flow	Deterministic Intensity Reduced Form Model
Swaption	Importable	European	Closed Form	Hull-White
Swaption	Importable	Bermudan Cancelable Swap	Crank-Nicholson (PDE)	Hull-White
FRA (Forward Rate Agreement)	Importable	N/A	Cost of Carry	N/A

Fixed Income

Instrument (Market)	Data Source	Option Types	Pricing Method	Pricing Model
Duration Proxy	Importable	N/A	N/A	N/A
Agency Bond (U.S.)	Barra-supplied Bloomberg Importable	European American	For regular issues: Discounted Cash Flow For callable and putable issues: Crank-Nicholson PDE	Hull-White
Corporate Bond (U.S. and Global)	Barra-supplied Bloomberg Importable	European American
Eurobond (Global)	Barra-supplied Importable	European American
Government Note/Bond (Global)	Barra-supplied Importable	European American
Cash Flow Bond	Importable	N/A
Commercial Deposit	Importable	N/A
Composite	Importable	N/A
Convertible Bond (U.S. and Global)	Barra-supplied Bloomberg Importable	European American Bermudan	Trinomial Tree	N/A
Floating Rate Note (U.S. and Global) Variable Rate Note	Barra-supplied Importable	European American	Simulation of interest rate scenarios if caps or floors. Deterministic if no caps or floors.	Hull-White
Inflation-Protected Bond (Australia, Canada, Euro, New Zealand, South Africa, Sweden, U.K., U.S.)	Barra-supplied Bloomberg Importable	European American	Discounted Cash Flow (with Barra-provided real term structure)	N/A
Municipal Bond (U.S.)	Bloomberg Importable	European American	Discounted Cash Flow (with Barra-provided municipal term structure). Crank-Nicholson (PDE) if pre-refundable.	N/A
Municipal Floating Rate Bond (U.S.)	Importable	European American	Simulation of interest rate scenarios (with Barra-provided municipal term structure) if caps or floors. Deterministic if no caps or floors.	Hull-White
Mortgage-Backed Security (U.S.)	Barra-supplied	N/A	Simulation of interest rate scenarios. Cash flow calculated with Barra implied-prepayment model.	Hull-White
Mortgage-Backed Security (Denmark)	Barra-supplied	N/A	Discounted Cash Flow. Cash flow calculated with Barra implied-prepayment model.	N/A
TBA Mortgage-Backed Security	Barra-supplied	N/A	N/A	N/A
Adjustable Rate Mortgage (ARM)	Barra-supplied Importable	N/A	Simulation of interest rate scenarios. Cash flow calculated with Barra implied-prepayment model.	Hull-White Note: User prices required.
Structured Products (U.S., EMU) USD-denominated RMBS (Agency CMO/REMIC, Whole Loan CMO/REMIC) USD-denominated ABS (Home Equity, Manufactured Housing, Credit Card, Auto, Equipment, Student Loans) USD-denominated CMBS EUR-denominated RMBS, ABS, CMBS	Intex-supplied	N/A	Simulation of interest rate scenarios. Cash flow computed with Barra Implied Prepayment model.	Hull-White Note: User prices or spreads required
Term Deposit	Barra-supplied Importable	N/A	Discounted Cash Flow	N/A
Bond Future (Australia, Canada, U.K., Euro, Germany, Japan, Korea, Spain, Sweden, Switzerland, U.S.)	Barra-supplied Importable	N/A	Numerical integration algorithm (accounting for the quality option)	Hull-White
Bond Option	Importable	European	Crank-Nicholson (PDE)	Hull-White
Bond Future Option	Importable	European	Closed Form	Black (1976)
Repo	Importable	N/A	Closed Form	Discounted Present Value
Cashflow Asset	Importable	N/A	Discounted Cash Flow	N/A

Equity

Instrument (Market)	Data Source	Option Types	Pricing Method	Pricing Model
Equity Rule-Based Proxy	Importable	N/A	N/A	N/A
Equity Claim	Importable	N/A	Cost of Carry	N/A
Contract for Difference (CFD)	Importable	N/A	Cost of Carry	N/A
Equity Security (Global)	Barra-supplied Importable	N/A	Market Price	N/A
Equity Index (Selected Global) Exchange-traded Fund	Barra-supplied Importable	N/A	Market Price	N/A
Equity Basket	Importable	N/A	Market Price	N/A
Equity Future	Importable	N/A	Cost of Carry	N/A
Equity Index Future	Barra-supplied Importable	N/A	Cost of Carry	N/A
Equity Option	Bloomberg Importable	European	Closed Form	Black Scholes Black Scholes Generalized Black Scholes Continuous Dividend
		American Bermudan	Trinomial Tree	N/A
		European Barrier European Double Barrier	Trinomial Tree	Merton (1973) Reiner and Rubinstein (1991) Rich (1994)
		European Asian	Approximation	Asian
Equity Index Future Option	Importable	European	Closed Form	Black (1976)
		American	Trinomial Tree	N/A
		European Asian	Approximation	Asian

Foreign Exchange

Instrument	Data Source	Option Types	Pricing Method	Pricing Model
Currency	Barra-supplied	N/A	Market Price	N/A
Currency (FX) Forward	Importable	N/A	Interest Rate Parity	N/A
Currency (FX) Future	Bloomberg Importable	N/A	Cost of Carry	N/A
Currency (FX) Option	Bloomberg Importable	European	Cost of Carry	N/A
		American Bermudan	Trinomial Tree	N/A
		European Barrier European Double Barrier	Trinomial Tree	Merton (1973) Reiner and Rubinstein (1991) Rich (1994)
		European Asian	Approximation	Asian
Currency (FX) Future Option	Importable	American European	Closed Form Trinomial Tree	Black (1976) N/A

Other Instruments

Instrument	Data Source	Option Types	Pricing Method	Pricing Model
Certificate/Tracker Discount Bonus Standard Reverse Outperformance Twin-Win Airbag Capital Protected Reverse Convertible Barrier Range Reverse Convertible	Importable	Vanilla	Closed Form	Black-Scholes
	Importable	Barrier	Trinomial Tree	N/A
Commodity	Barra-supplied	N/A	N/A	N/A
Commodity Future	Importable	N/A	Cost of Carry	N/A
Commodity Index Future	Importable	N/A	Cost of Carry	N/A
Commodity Future Option	Importable	European	Closed Form	Black (1976)
		American	Trinomial Tree	N/A
		European Asian	Approximation	Asian
Hedge Fund	Importable	N/A	N/A	N/A
Composite of Barra-supplied index or your own portfolio	Barra-supplied Importable	N/A	N/A	N/A
Mutual Fund/Unit Trust	Barra-supplied	N/A	Market Price	N/A
Property/Real Estate	Barra-supplied	N/A	N/A	N/A
StructureTool Asset	Importable	N/A	Monte Carlo Simulation	Various, but typically: lognormal price/rate for equity and FX underliers Hull-White single factor for interest rate underliers
Unit Exposure Asset (Each unit exposure asset represents a specific Barra factor, which can be combined for proxying purposes)	Barra-supplied	N/A	N/A	N/A