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applicationMatrix

Class: numerixCrossAsset

Create and register Numerix CROSSASSET Application Matrix object

Syntax

applicationMatrix(C,Desc,Rdata,Cdata,Mdata)

Description

applicationMatrix(C,Desc,Rdata,Cdata,Mdata) creates the CROSSASSET Application Matrix object from the row information (Rdata), column information (Cdata), and matrix (Mdata).

Input Arguments

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Connection object to Numerix® CROSSASSET, specified using the numerixCrossAsset constructor.

Description of data, specified as a character vector or cell array of character vectors.

Data Types: char | cell

Row information for Application Matrix object, specified using numeric values.

Example: Rdata = [41992,42020,42449,42905,43115];

Data Types: double

Column information for Application Matrix object, specified as numeric values.

Example: Cdata = [390,395,400,405];

Data Types: double

Volatility information for Application Matrix object, specified as numeric values.

Example: Mdata = [0.35778, 0.35132, 0.34394, 0.33582;...
0.33405, 0.32819, 0.32669, 0.31904;...
0.31576, 0.31235, 0.30371, 0.30261;...
0.29391, 0.29366, 0.28962, 0.28932;...
0.28787, NaN, 0.28347, NaN ];

Data Types: double

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes.

Examples

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Create a volatility matrix with dates describing the rows and strike prices describing the columns with the description BYSTRIKEVOLDATA. Missing values in the matrix input are denoted as NaN.

Create a Numerix CROSSASSET object.

c = numerixCrossAsset;

Define the matrix data.

rowData = [41992, 42020, 42449, 42905, 43115];
colData = [390, 395, 400, 405];
volData = [0.35778, 0.35132, 0.34394, 0.33582;...
           0.33405, 0.32819, 0.32669, 0.31904;...
           0.31576, 0.31235, 0.30371, 0.30261;...
           0.29391, 0.29366, 0.28962, 0.28932;...
           0.28787, NaN,     0.28347, NaN    ];

Create and register a Numerix CROSSASSET Application Matrix object.

applicationMatrix(c,'BYSTRIKEVOLDATA',rowData,colData,volData);
Introduced in R2016b