Create FiniteDifference
pricer object for
Barrier
, DoubleBarrier
, or
Vanilla
instrument using a BlackScholes
,
Heston
, Merton
, or Bates
model
Create and price a Vanilla
, Barrier
, or
DoubleBarrier
instrument object with a
BlackScholes
, Heston
,
Bates
, Merton
, or Dupire
model
and a FiniteDifference
pricing method using this
workflow:
Use fininstrument
to create the Barrier
,
DoubleBarrier
, or Vanilla
instrument object.
Use finmodel
to specify
the BlackScholes
model for a Barrier
or DoubleBarrier
instrument or a Heston
, Bates
, Dupire
, or Merton
model for
the Vanilla
instrument.
Use finpricer
to
specify the FiniteDifference
pricer object for the
Barrier
, DoubleBarrier
, or
Vanilla
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
Vanilla
, Barrier
, or
DoubleBarrier
instrument, see Choose Instruments, Models, and Pricers.
creates a FiniteDifferencePricerObj
= finpricer(PricerType
,'Model
',model,'DiscountCurve
',ratecurve_obj,'SpotPrice
',spotprice_value)FiniteDifference
pricer object by specifying
PricerType
and sets the properties for the
required name-value pair arguments Model
,
DiscountCurve
, and
SpotPrice
.
sets optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, FiniteDifferencePricerObj
= finpricer(___,Name,Value
)FiniteDifferencePricerObj =
finpricer("FiniteDifference",'Model',BSModel,'DiscountCurve',ratecurve_obj,'SpotPrice',100,'DividendValue',.025,'DividendType',"cash")
creates a FiniteDifference
pricer object. You can specify
multiple name-value pair arguments.
price | Compute price for equity instrument with FiniteDifference
pricer |