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price equity, fx, commodity, or energy instruments -凯发k8网页登录

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, foreign exchange (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 .

create an equity, fx, or commodity instrument object using , then associate a model using , and then specify a pricing method using .

functions

create specified instrument object type
create specified model object type
create pricing method
set exercise policy for fixedbondoption, floatbondoption, or vanilla instrument
compute fair delivery price of underlying asset for bondfuture, commodityfuture, equityindexfuture, or fxfuture instrument
compute cash settlement for bondfuture, commodityfuture, equityindexfuture, or fxfuture instrument
compute price for interest-rate, equity, or credit derivative instrument with analytic pricer
compute price for equity instrument with finitedifference pricer
compute price for equity instrument with fft pricer
compute price for equity instrument with numericalintegration pricer
compute price for equity instrument with vannavolga pricer
compute price for equity instrument with assetmontecarlo pricer
compute price for equity instrument with replicatingvarianceswap pricer
compute price for equity instrument with assettree pricer
compute price for interest-rate instrument with future pricer

live editor tasks

calibrate option pricing model in the live editor

objects

vanilla instrument object
lookback instrument
partiallookback instrument
barrier instrument object
doublebarrier instrument object
asian instrument object
spread instrument object
varianceswap instrument object
cliquet instrument object
binary instrument object
touch instrument object
doubletouch instrument object
convertiblebond instrument object
commodityfuture instrument object
fxfuture instrument object
equityindexfuture instrument object
create blackscholes model object for an asian, barrier, doublebarrier, lookback, partiallookback, spread, vanilla, touch, doubletouch, cliquet, or binary instrument
create bachelier model object for vanilla, spread, or binary instrument
create heston model object for vanilla, asian, barrier, doublebarrier, lookback, partiallookback, varianceswap, touch, doubletouch, cliquet, or binary instrument
create bates model object for vanilla, asian, barrier, doublebarrier, lookback, partiallookback, touch, doubletouch, cliquet, or binary instrument
create dupire model object for local volatility for vanilla instrument
create 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

create 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 varianceswap instruments

create assetmontecarlo pricer object for equity instruments using blackscholes, merton, heston, or bates model
create finitedifference pricer object for barrier, doublebarrier, or vanilla instrument using a blackscholes, heston, merton, or bates model
create numericalintegration pricer object for vanilla instrument using heston, bates, or merton model
create fft pricer object for vanilla instrument using merton, heston, or bates model
create vannavolga pricer object for vanilla, barrier, doublebarrier, touch, or doubletouch instrument using blackscholes model
create replicatingvarianceswap pricer object for varianceswap instrument using ratecurve object

closed-form pricers for asian, lookback, spread, cliquet, and vanilla instruments

create bjerksundstensland pricer object for vanilla or spread instrument using blackscholes model
create blackscholes pricer object for vanilla, barrier, touch, doubletouch, or binary instrument using blackscholes model
create conzeviswanathan pricer object for lookback instrument using blackscholes model
create goldmansosingatto pricer object for lookback instrument using blackscholes model
create heston pricer object for varianceswap instrument using heston model
create heynenkat pricer object for partiallookback instrument using blackscholes model
create ikedakunitomo pricer object for doublebarrier instrument using blackscholes model
create kemnavorst pricer object for asian instrument using blackscholes model
create kirk pricer object for spread instrument using blackscholes model
create levy pricer object for asian instrument using blackscholes model
create rollgeskewhaley pricer object for american exercise vanilla instrument using blackscholes model
create rubinstein pricer object for cliquet instrument using blackscholes model
create turnbullwakeman pricer object for asian instrument using blackscholes model

future pricer for commodityfuture, equityindexfuture, or fxfuture instruments

create future pricer object for bondfuture, commodityfuture, equityindexfuture, and fxfuture using ratecurve object

topics


  • this example shows the workflow to price a commodity spread instrument when you use a blackscholes model and kirk and bjerksundstensland analytic pricing methods.


  • this example shows how to compare european vanilla instrument call option prices using a blackscholes model and different pricing methods.


  • this example shows how to compare arithmetic and geometric asian option prices using the blackscholes model and various pricing methods.

  • hedge options using reinforcement learning toolbox™

    outperform the traditional bsm approach using an optimal option hedging policy.


  • this example shows how to use deep learning toolbox™ to train a network and obtain predictions on barrier option prices with a heston model.


  • this example shows how to use the calibrate pricing model live editor task to calibrate a heston pricing model to call option prices from the market.


  • this example demonstrates a workflow for pricing weather derivatives based on historically observed temperature data.


  • use objects to model and price financial instruments.


  • select instruments, associated models, and associated pricers.


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


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

related information



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