DoubleTouch
instrument object
Create and price a DoubleTouch
instrument object using this
workflow:
Use fininstrument
to create a DoubleTouch
instrument object.
Use finmodel
to specify
a BlackScholes
, Bates
, Merton
, or Heston
model for
the DoubleTouch
instrument.
When using a BlackScholes
model, use finpricer
to
specify a BlackScholes
or VannaVolga
pricing method for the DoubleTouch
instrument.
When using a BlackScholes
, Heston
,
Bates
, or Merton
model, use
finpricer
to
specify an AssetMonteCarlo
pricing method for the
DoubleTouch
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
DoubleTouch
instrument, see Choose Instruments, Models, and Pricers.
creates a DoubleTouchOpt
= fininstrument(InstrumentType
,'ExerciseDate
',exercise_date,'BarrierValue
',barrier_value,'PayoffValue
',payoff_value)DoubleTouch
object by specifying
InstrumentType
and sets properties using
the required name-value pair arguments ExerciseDate
,
BarrierValue
, and
PayoffValue
.
sets optional properties using
additional name-value pair arguments in addition to the required arguments
in the previous syntax. For example, DoubleTouchOpt
= fininstrument(___,Name,Value
)DoubleTouchOpt =
fininstrument("DoubleTouch",'Strike',100,'ExerciseDate',datetime(2019,1,30),'BarrierValue',110,'PayoffValue',150,'BarrierType',"DOT",'PayoffType',"Expiry",'Name',"DoubleTouch_option")
creates a DoubleTouch
option with a payoff type of
Expiry
. You can specify multiple name-value pair
arguments.