Create CDSBlack
pricer object for
CDSOption
instrument using CDSBlack
model
Create and price a CDSOption
instrument object with a
CDSBlack
model and a CDSBlack
pricing method
using this workflow:
Use fininstrument
to create the CDSOption
instrument object.
Use finmodel
to specify
the CDSBlack
model
for the CDSOption
instrument.
Use finpricer
to
specify the CDSBlack
pricer object 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 instruments, models, and pricing methods for a
CDSOption
instrument, see Choose Instruments, Models, and Pricers.
creates a CDSBlackPricerObj
= finpricer(PricerType
,'DiscountCurve
',ratecurve_obj,'Model
',model,'DefaultProbabilityCurve
',defaultprobabilitycurve_obj)CDSBlack
pricer object by specifying
PricerType
and the required name-value pair
arguments for DiscountCurve
,
Model
, and DefaultProbabilityCurve
to set properties using
name-value pairs. For example, CDSBlackPricerObj =
finpricer("Analytic",'Model',CDSBlack,'DiscountCurve',ratecurve_obj,'DefaultProbabilityCurve',defaultprobabilitycurve_obj)
creates a CDSBlack
pricer object.
price | Compute price for interest-rate, equity, or credit derivative instrument with
Analytic pricer |