Create RollGeskeWhaley
pricer object for American exercise
Vanilla
instrument using BlackScholes
model
Create and price a Vanilla
instrument object with a
BlackScholes
model and a RollGeskeWhaley
pricing method using this workflow:
Use fininstrument
to create a Vanilla
instrument object.
Use finmodel
to specify
a BlackScholes
model for the Vanilla
instrument.
Use finpricer
to
specify a RollGeskeWhaley
pricer object for the
Vanilla
instrument (American exercise).
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
Vanilla
instrument, see Choose Instruments, Models, and Pricers.
creates a RollGeskeWhaleyPricerObj
= finpricer(PricerType
,'Model
',model,'DiscountCurve
',ratecurve_obj,'SpotPrice
',spotrate_value,'DividendType
',dividendtype,'DividendValue
',dividendvalue)RollGeskeWhaley
pricer object by specifying
PricerType
and sets the properties for the
required name-value pair arguments Model
,
DiscountCurve
, and
SpotPrice
.
to set optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, RollGeskeWhaleyPricerObj
= finpricer(___,Name,Value
)RollGeskeWhaleyPricerObj =
finpricer("Analytic",'Model',BSModel,'DiscountCurve',ratecurve_obj,'SpotPrice',1000,'DividendValue',timetable(datetime(2021,6,15),2.5),'DividendType',"cash",'PricingMethod',"RollGeskeWhaley")
creates a RollGeskeWhaley
pricer object. You can specify
multiple name-value pair arguments.
price | Compute price for interest-rate, equity, or credit derivative instrument with
Analytic pricer |