Create SABR
pricer object for Swaption
instrument using SABR
model
Create and price a Swaption
instrument object with a
SABR
model and a SABR
pricing method using
this workflow:
Use fininstrument
to create a Swaption
instrument object.
Use finmodel
to specify
a SABR
model for the
Swaption
instrument.
Use finpricer
to
specify a SABR
pricer object for the
Swaption
instrument.
Note
If you do not specify ProjectionCurve
when you
create a Swaption
instrument with the
SABR
pricer, the
ProjectionCurve
value defaults to the
DiscountCurve
value.
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
Swaption
instrument, see Choose Instruments, Models, and Pricers.
creates a SABRPricerObj
= finpricer(PricerType
,'DiscountCurve
',ratecurve_obj,'Model
',model)SABR
pricer object by specifying
PricerType
and the required name-value pair
argument Model
to set properties using name-value
pairs. For example, SABRPricerObj =
finpricer("Analytic",'DiscountCurve',ratecurve_obj,'Model',SABRModel)
creates a SABR
pricer object.
price | Compute price for interest-rate, equity, or credit derivative instrument with
Analytic pricer |
volatilities | Compute implied volatilities when using SABR pricer |