Barrier
instrument object
Create and price a Barrier
instrument object using this
workflow:
Use fininstrument
to create a Barrier
instrument object.
Use finmodel
to specify
a BlackScholes
, Heston
, Bates
, or Merton
model for
the Barrier
instrument.
When using a BlackScholes
model, use finpricer
to
specify a BlackScholes
or VannaVolga
pricing method for the Barrier
instrument.
When using a BlackScholes
, Heston
,
Bates
, or Merton
model, use
finpricer
to
specify an AssetMonteCarlo
or FiniteDifference
pricing method for the
Barrier
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for a
Barrier
instrument, see Choose Instruments, Models, and Pricers.
creates a BarrierOpt
= fininstrument(InstrumentType
,'Strike
',strike_value,'ExerciseDate
',exercise_date,'BarrierValue
',barrier_value)Barrier
object by specifying
InstrumentType
and sets the properties for the
required name-value pair arguments Strike
,
ExerciseDate
, and
BarrierValue
.
sets optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, BarrierOpt
= fininstrument(___,Name,Value
)BarrierOpt =
fininstrument("Barrier",'Strike',100,'ExerciseDate',datetime(2019,1,30),'BarrierValue',110,'OptionType',"put",'ExerciseStyle',"European",'BarrierType',"DO",'Name',"barrier_option")
creates a Barrier
put option with an European exercise.
You can specify multiple name-value pair arguments.