CDSOption
instrument object
Create and price a CDSOption
instrument object using this
workflow:
Use fininstrument
to create a CDSOption
instrument object.
Use finmodel
to specify
a CDSBlack
model
for the CDSoption
instrument.
Use finpricer
to
specify a CDSBlack
pricing
method for the CDSoption
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 models and pricing methods using a
CDSoption
instrument, see Choose Instruments, Models, and Pricers.
creates a CDSOptionObj
= fininstrument(InstrumentType
,'ExerciseDate
',exercise_date,'Strike
',strike_value,'CDS
',cds_obj)CDSOption
object by specifying
InstrumentType
and sets the properties for the
required name-value pair arguments ExerciseDate
,
Strike
, and CDS
.
sets optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, CDSOptionObj
= fininstrument(___,Name,Value
)CDSOptionObj =
fininstrument("CDSoption",'ExerciseDate',datetime(2019,1,30),'Strike',500,'CDS',cds_object,'Name',"cdsoption_instrument")
creates a CDSOption
instrument with a strike of 500. You
can specify multiple name-value pair arguments.