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price

Compute price for interest-rate instrument with IRMonteCarlo pricer

Description

example

[Price,PriceResult] = price(inpPricer,inpInstrument) computes the interest-rate instrument price and related pricing information based on the pricing object inpPricer and the instrument object inpInstrument.

example

[Price,PriceResult] = price(___,inpSensitivity) adds an optional argument to specify sensitivities. Use this syntax with the input argument combination in the previous syntax.

Examples

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This example shows the workflow to price a FixedBond instrument when using a HullWhite model and an IRMonteCarlo pricing method.

Create FixedBond Instrument Object

Use fininstrument to create a FixedBond instrument object.

FixB = fininstrument("FixedBond","Maturity",datetime(2022,9,15),"CouponRate",0.05,'Name',"fixed_bond")
FixB = 
  FixedBond with properties:

                  CouponRate: 0.0500
                      Period: 2
                       Basis: 0
                EndMonthRule: 1
                   Principal: 100
    DaycountAdjustedCashFlow: 0
       BusinessDayConvention: "actual"
                    Holidays: NaT
                   IssueDate: NaT
             FirstCouponDate: NaT
              LastCouponDate: NaT
                   StartDate: NaT
                    Maturity: 15-Sep-2022
                        Name: "fixed_bond"

Create HullWhite Model Object

Use finmodel to create a HullWhite model object.

HullWhiteModel = finmodel("HullWhite",'Alpha',0.32,'Sigma',0.49)
HullWhiteModel = 
  HullWhite with properties:

    Alpha: 0.3200
    Sigma: 0.4900

Create ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2019,1,1);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 01-Jan-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create IRMonteCarlo Pricer Object

Use finpricer to create an IRMonteCarlo pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("IRMonteCarlo",'Model',HullWhiteModel,'DiscountCurve',myRC,'SimulationDates',ZeroDates)
outPricer = 
  HWMonteCarlo with properties:

          NumTrials: 1000
      RandomNumbers: []
      DiscountCurve: [1x1 ratecurve]
    SimulationDates: [01-Jul-2019    01-Jan-2020    01-Jan-2021    ...    ]
              Model: [1x1 finmodel.HullWhite]

Price FixedBond Instrument

Use price to compute the price and sensitivities for the FixedBond instrument.

[Price,outPR] = price(outPricer,FixB,["all"])
Price = 115.0303
outPR = 
  priceresult with properties:

       Results: [1x4 table]
    PricerData: [1x1 struct]

outPR.Results
ans=1×4 table
    Price      Delta     Gamma     Vega
    ______    _______    ______    ____

    115.03    -397.13    1430.4     0  

Input Arguments

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Pricer object, specified as a previously created IRMonteCarlo pricer object. Create the pricer object using finpricer.

Data Types: object

Instrument object, specified as scalar or a vector of previously created instrument objects. Create the instrument objects using fininstrument. The following instrument objects are supported:

Data Types: object

(Optional) List of sensitivities to compute, specified as an NOUT-by-1 or 1-by-NOUT cell array of character vectors or string array.

The supported sensitivities depend on the pricing method.

inpInstrumentSupported Sensitivities
Cap{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
Floor{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
Swap{'delta','gamma','vega','price'}
Swaption{'delta','gamma','vega','price'}
FixedBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
OptionEmbeddedFixedBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
FixedBondOption{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
FloatBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
FloatBondOption{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
OptionEmbeddedFloatBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)

inpSensitivity = 'All' or inpSensitivity = "All" specifies that all sensitivities for the pricing method are returned. This is the same as specifying inpSensitivity to include each sensitivity.

Example: inpSensitivity = ["delta","gamma","vega","price"]

Data Types: cell | string

Output Arguments

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Instrument price, returned as a numeric.

Price result, returned as a PriceResult object. The object has the following fields:

  • PriceResult.Results — Table of results that includes sensitivities (if you specify inpSensitivity)

  • PriceResult.PricerData — Structure for pricer data

Introduced in R2021b