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Price Equity, FX, Commodity, or Energy Instruments

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

An equity derivative is a contract whose value is at least partly derived from one or more underlying equity, FX, commodity, or energy securities. This toolbox provides functionality to price, compute sensitivity and hedging analysis to many equity securities. You can price vanilla, asian, lookback, barrier, and spread options with pricing models that include lattice models, Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

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 equity instrument with AssetMonteCarlo pricer
priceCompute price for equity instrument with ReplicatingVarianceSwap pricer
priceCompute price for equity instrument with AssetTree pricer

Objects

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

AssetTree Pricer for Vanilla, Barrier, Asian, or Lookback Instruments

AssetTreeCreate AssetTree pricer object for Vanilla, Barrier, Asian, or Lookback instrument

Monte Carlo, Finite Difference, Numerical Integration, FFT, Replicating Variance Swap Pricers for Vanilla, Barrier, Cliquet, 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, Cliquet, 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
HestonCreate Heston pricer object for VarianceSwap instrument using Heston model
HeynenKatCreate HeynenKat pricer object for PartialLookback instrument using BlackScholes model
IkedaKunitomoCreate IkedaKunitomo pricer object for DoubleBarrier instrument using BlackScholes model
KemnaVorstCreate KemnaVorst pricer object for Asian instrument using BlackScholes 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
RubinsteinCreate Rubinstein pricer object for Cliquet 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.

Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers

This example shows how to compare European Vanilla instrument call option prices using a BlackScholes model and different pricing methods.

Use Black-Scholes Model to Price Asian Options with Several Equity Pricers

This example shows how to compare arithmetic and geometric Asian option prices using the BlackScholes model and various pricing methods.

Hedging an Option Using Reinforcement Learning Toolbox

This example shows how to learn an optimal option hedging policy and outperform the traditional BSM approach using Reinforcement Learning Toolbox™ .

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.

Supported Exercise Styles

The following table lists the interest-rate instrument objects with their associated models and pricers and supported Exercise styles.

Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers

Mapping functions to a workflow using objects for instruments, models, and pricers.

Featured Examples