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Price Equity, FX, or Commodity Instruments

Create equity, FX, or commodity instrument object, associate the object with a model, and specify pricing method

Create an equity, foreign exchange (FX), or commodity instrument object using fininstrument, then associate a model using finmodel, and then specify a pricing method using finpricer.

Functions

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fininstrumentCreate specified instrument object type
finmodelCreate specified model object type
finpricerCreate pricing method
setExercisePolicySet exercise policy for FixedBondOption, FloatBondOption, or Vanilla instrument
priceCompute price for interest-rate, equity, or credit derivative instrument with Analytic pricer
priceCompute price for equity instrument with FiniteDifference pricer
priceCompute price for equity instrument with FFT pricer
priceCompute price for equity instrument with NumericalIntegration pricer
priceCompute price for equity instrument with VannaVolga pricer
priceCompute price for Vanilla, Barrier, Lookback, Asian, Spread, DoubleBarrier, Touch, DoubleTouch, or Binary instrument with AssetMonteCarlo pricer
priceCompute price for equity instrument with ReplicatingVarianceSwap pricer

Objects

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VanillaVanilla instrument object
LookbackLookback instrument
BarrierBarrier instrument object
DoubleBarrierDoubleBarrier instrument object
AsianAsian instrument object
SpreadSpread instrument object
VarianceSwapVarianceSwap instrument object
BinaryBinary instrument object
TouchTouch instrument object
DoubleTouchDoubleTouch instrument object
BlackScholesCreate BlackScholes model object for an Asian, Barrier, DoubleBarrier, Lookback, Spread, Vanilla, Touch, DoubleTouch, or Binary instrument
HestonCreate Heston model object for Vanilla, Asian, Barrier, DoubleBarrier, Lookback, VarianceSwap, Touch, DoubleTouch, or Binary instrument
BatesCreate Bates model object for Vanilla, Asian, Barrier, DoubleBarrier, Lookback, Touch, DoubleTouch, or Binary instrument
DupireCreate Dupire model object for local volatility for Vanilla instrument
MertonCreate Merton model object for Vanilla, Asian, Barrier, DoubleBarrier, Lookback, OneTouch, DoubleTouch, or Binary instrument

Monte Carlo, Finite Difference, Numerical Integration, FFT, Replicating Variance Swap Pricers for Vanilla, Barrier, or Variance Swap Instruments

AssetMonteCarloCreate AssetMonteCarlo pricer object for equity instruments using BlackScholes, Merton, Heston, or Bates model
FiniteDifferenceCreate FiniteDifference pricer object for Barrier, DoubleBarrier, or Vanilla instrument using a BlackScholes, Heston, Merton, or Bates model
NumericalIntegrationCreate NumericalIntegration pricer object for Vanilla instrument using Heston, Bates, or Merton model
FFTCreate FFT pricer object for Vanilla instrument using Merton, Heston, or Bates model
VannaVolgaCreate VannaVolga pricer object for Vanilla, Barrier, DoubleBarrier, Touch, or DoubleTouch instrument using BlackScholes model
ReplicatingVarianceSwapCreate ReplicatingVarianceSwap pricer object for VarianceSwap instrument using ratecurve object

Closed-Form Pricers for Asian, Lookback, Spread, and Vanilla Instruments

BjerksundStenslandCreate BjerksundStensland pricer object for Vanilla or Spread instrument using BlackScholes model
BlackScholesCreate BlackScholes pricer object for Vanilla, Barrier, Touch, DoubleTouch, or Binary instrument using BlackScholes model
ConzeViswanathanCreate ConzeViswanathan pricer object for Lookback instrument using BlackScholes model
GoldmanSosinGattoCreate GoldmanSosinGatto pricer object for Lookback instrument using BlackScholes model
KemnaVorstCreate KemnaVorst pricer object for Asian instrument using BlackScholes model
IkedaKunitomoCreate IkedaKunitomo pricer object for DoubleBarrier instrument using BlackScholes model
HestonCreate Heston pricer object for VarianceSwap instrument using Heston model
KirkCreate Kirk pricer object for Spread instrument using BlackScholes model
LevyCreate Levy pricer object for Asian instrument using BlackScholes model
RollGeskeWhaleyCreate RollGeskeWhaley pricer object for American exercise Vanilla instrument using BlackScholes model
TurnbullWakemanCreate TurnbullWakeman pricer object for Asian instrument using BlackScholes model

Examples and How To

Price Spread Instrument for a Commodity Using Black-Scholes Model and Analytic Pricers

This example shows the workflow to price a commodity Spread instrument when you use a BlackScholes model and Kirk and BjerksundStensland analytic pricing methods.

Concepts

Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments

Use objects to model and price financial instruments.

Choose Instruments, Models, and Pricers

Select instruments, associated models, and associated pricers.

Related Information

Financial Instruments Toolbox Documentation

Support

A Practical Guide to Modeling Financial Risk with MATLAB

A Practical Guide to Modeling Financial Risk with MATLAB

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