Workflow to Price an Equity, Commodity, or FX Instrument

Price a Vanilla option with the Black-Scholes closed form formula. For more information on the supported equity, commodity, or FX instruments, see Choose Instruments, Models, and Pricers.

Price Vanilla Instrument Using Black-Scholes Model and Black-Scholes Pricer

This example shows the workflow to price a Vanilla instrument when you use a BlackScholes model and a BlackScholes pricing method.

Create Vanilla Instrument Object

Use fininstrument to create a Vanilla instrument object.

VanillaOpt = fininstrument("Vanilla",'ExerciseDate',datetime(2018,5,1),'Strike',29,'OptionType',"put",'ExerciseStyle',"european",'Name',"vanilla_option")

VanillaOpt = 
  Vanilla with properties:

       OptionType: "put"
    ExerciseStyle: "european"
     ExerciseDate: 01-May-2018
           Strike: 29
             Name: "vanilla_option"

Create BlackScholes Model Object

Use finmodel to create a BlackScholes model object.

BlackScholesModel = finmodel("BlackScholes",'Volatility',0.25)

BlackScholesModel = 
  BlackScholes with properties:

     Volatility: 0.2500
    Correlation: 1

Create ratecurve Object

Create a flat ratecurve object using ratecurve.

Settle = datetime(2018,1,1);
Maturity = datetime(2019,1,1);
Rate = 0.05;
myRC = ratecurve('zero',Settle,Maturity,Rate,'Basis',1)

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 1
                Dates: 01-Jan-2019
                Rates: 0.0500
               Settle: 01-Jan-2018
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create BlackScholes Pricer Object

Use finpricer to create a BlackScholes pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("analytic",'DiscountCurve',myRC,'Model',BlackScholesModel,'SpotPrice',30,'DividendValue',0.045)

outPricer = 
  BlackScholes with properties:

    DiscountCurve: [1x1 ratecurve]
            Model: [1x1 finmodel.BlackScholes]
        SpotPrice: 30
    DividendValue: 0.0450
     DividendType: "continuous"

Price Vanilla Instrument

Use price to compute the price and sensitivities for the Vanilla instrument.

[Price, outPR] = price(outPricer,VanillaOpt,["all"])

Price = 1.2046

outPR = 
  priceresult with properties:

       Results: [1x7 table]
    PricerData: []

outPR.Results

ans=1×7 table
    Price      Delta       Gamma      Lambda      Vega       Rho       Theta 
    ______    ________    ________    _______    ______    _______    _______

    1.2046    -0.36943    0.086269    -9.3396    6.4702    -4.0959    -2.3107