Create BlackKarasinski
model object for a
Cap
, Floor
Swaption
,
Swap
, FloatBond
, FixedBond
,
FixedBondOption
, FloatBondOption
,
OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument
Create and price a Cap
, Floor
,
Swaption
, Swap
, FloatBond
,
FixedBond
, FixedBondOption
,
FloatBondOption
, OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument object with a
BlackKarasinski
model using this workflow:
Use fininstrument
to create a Cap
, Floor
, Swaption
,
Swap
, FloatBond
,
FixedBond
,
FixedBondOption
, FloatBondOption
, OptionEmbeddedFixedBond
, or OptionEmbeddedFloatBond
instrument object.
Use finmodel
to specify
a BlackKarasinski
model object for the Cap
,
Floor
, Swaption
,
Swap
, FixedBond
,
FloatBond
, FixedBondOption
,
FloatBondOption
,
OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument.
Use finpricer
to
specify a IRTree
pricing
method for the Cap
, Floor
,
Swaption
,
Swap
FixedBond
,
FloatBond
, FixedBondOption
or
OptionEmbeddedFixedBond
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 pricing methods for a Cap
,
Floor
Swaption
, Swap
,
FixedBond
, FloatBond
,
FixedBondOption
, FloatBondOption
,
OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument, see Choose Instruments, Models, and Pricers.
creates a BlackKarasinskiModelObj
= finmodel(ModelType
,'Alpha
',alpha_value,'Sigma
',sigma_value)BlackKarasinski
model object by specifying
ModelType
and the required name-value pair
arguments Alpha
and Sigma
to set
properties using
required name-value pair arguments. For example,
BlackKarasinskiModelObj =
finmodel("BlackKarasinski",'Alpha',0.052,'Sigma',0.34)
creates
a BlackKarasinski
model object.