Create BlackScholes
pricer object for
Vanilla
, Barrier
, Touch
,
DoubleTouch
, or Binary
instrument using
BlackScholes
model
Create and price a Vanilla
, Barrier
,
Touch
, DoubleTouch
, or
Binary
instrument object with a BlackScholes
model and a BlackScholes
pricing method using this
workflow:
Use fininstrument
to create a Vanilla
,
Barrier
,
DoubleTouch
, Binary
or ,
Touch
instrument object.
Use finmodel
to specify
a BlackScholes
model for the Vanilla
, Barrier
,
Touch
, DoubleTouch
, or
Binary
instrument.
Use finpricer
to
specify a BlackScholes
pricer object for the
Vanilla
, Barrier
,
Touch
, DoubleTouch
, or
Binary
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 instruments, models, and pricing methods for a
Vanilla
, Lookback
, Barrier
,
Asian
, Spread
, Touch
,
DoubleTouch
, or Binary
instrument, see Choose Instruments, Models, and Pricers.
creates a BlackScholesPricerObj
= finpricer(PricerType
,'DiscountCurve
',ratecurve_obj,'Model
',model,'SpotPrice
',spotprice_value,)BlackScholes
pricer object by specifying
PricerType
and sets properties using the
required name-value pair arguments DiscountCurve
,
Model
, and SpotPrice
.
sets optional properties using
additional name-value pair arguments in addition to the required arguments
in the previous syntax. For example, BlackScholesPricerObj
= finpricer(___,Name,Value
)BlackScholesPricerObj =
finpricer("Analytic",'DiscountCurve',ratecurve_obj,'Model',BSModel,'SpotPrice',1000,'DividendType',"continuous",'DividendValue',100)
creates a BlackScholes
pricer object. You can specify
multiple name-value pair arguments.
price | Compute price for interest-rate, equity, or credit derivative instrument with
Analytic pricer |