Create CDSBlack
model object for CDSOption
instrument
Create and price a CDSOption
instrument object with a
CDSBlack
model using this workflow:
Use fininstrument
to create a CDSOption
instrument object.
Use finmodel
to specify
a CDSBlack
model object for the
CDSOption
instrument.
Use finpricer
to
specify a CDSBlack
pricing
method for the CDSOption
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
CDSOption
instrument, see Choose Instruments, Models, and Pricers.
creates a CDSBlackModelObj
= finmodel(ModelType
,'SpreadVolatility
',spreadvolatility_value)CDSBlack
model object by specifying
ModelType
and the required name-value pair argument
SpreadVolatility
to set the properties using
name-value pair arguments. For example, CDSBlackModelObj =
finmodel("CDSBlack",'SpreadVolatility',0.052)
creates a
CDSBlack
model object.