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create interest-rate instrument object, associate the object with a model, and specify pricing method

an interest-rate instrument is a derivative with a value that is linked to the movement of interest rates. this toolbox provides functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. you can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, cms, caps, and floors with pricing models that include lattice models, monte carlo simulations, and multiple closed-form solutions.

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 interest-rate instrument with or without optionality.

  • to create an interest-rate instrument object without optionality, use , associate a ratecurve object using , and then specify a pricing method using .

  • to create an interest-rate instrument object with optionality, use , associate a ratecurve object using and a model object 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
set put exercise policy for optionembeddedfixedbond, optionembeddedfloatbond, or convertiblebond instrument
set call exercise policy for optionembeddedfixedbond, optionembeddedfloatbond, or convertiblebond instrument
compute cash flow for fixedbond, floatbond, swap, fra, stirfuture, oisfuture, overnightindexedswap, or deposit 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 par swap rate for swap instrument
compute cash flows for cms or cmsnote instrument
compute implied volatilities when using sabr pricer
compute option adjusted spread for optionembeddedfixedbond instrument using interest-rate tree
compute price for interest-rate, equity, or credit derivative instrument with analytic pricer
compute price for interest-rate instrument with discount pricer
compute price for interest-rate instrument with irtree pricer
compute price for interest-rate instrument with irmontecarlo pricer
compute price for interest-rate instrument with future pricer

objects

create ratecurve object for interest-rate curve from dates and data
cms instrument object
cmsnote instrument object
deposit instrument object
fixedbond instrument object
fixedbondoption instrument object
floatbond instrument object
floatbondoption instrument object
optionembeddedfixedbond instrument object
optionembeddedfloatbond instrument object
convertiblebond instrument object
cap instrument object
floor instrument object
swap instrument object
swaption instrument object
fra instrument object
overnightindexedswap instrument object
stirfuture instrument object
oisfuture instrument object
bondfuture instrument object
create hullwhite model object for cap, floor, swaption, swap, fixedbond, floatbond, floatbondoption, fixedbondoption, optionembeddedfixedbond, or optionembeddedfloatbond instrument
create cmsconvexityhull model object for cms or cmsnote instrument
create blackkarasinski model object for a cap, floorswaption, swap, floatbond, fixedbond, fixedbondoption, floatbondoption, optionembeddedfixedbond, or optionembeddedfloatbond instrument
create blackdermantoy model object for a cap, floor, swaption, swap, floatbond, fixedbond, fixedbondoption, floatbondoption, optionembeddedfixedbond, or optionembeddedfloatbond instrument
create black model object for cap, floor, or swaption instrument
create normal model object for cap, floor, or swaption instrument
create sabr model object for swaption instrument
create sabrbracegatarekmusiela model object for cap, floor, fixedbond, floatbond, floatbondoption, fixedbondoption, optionembeddedfixedbond, or optionembeddedfloatbond instrument
create bracegatarekmusiela model object for cap, floor, fixedbond, floatbond, floatbondoption, fixedbondoption, optionembeddedfixedbond, or optionembeddedfloatbond instrument
create lineargaussian2f model object for cap, floor, swaption, swap, fixedbond, floatbond, floatbondoption, fixedbondoption, optionembeddedfixedbond, or optionembeddedfloatbond instrument
create discount pricer object for deposit, fra, swap, fixedbond, floatbond, oisfuture, stirfuture, and overnightindexedswap using ratecurve object
create cmsconvexityhull pricer object for cms or cmsnote instrument using cmsconvexityhull model
create irtree pricer object for cap, floor, swap, swaption, floatbond, fixedbond, fixedbondoption, floatbondoption, optionembeddedfixedbond, or optionembeddedfloatbond instrument
create irmontecarlo pricer object for interest-rate instruments using hullwhite, bracegatarekmusiela, blackkarasinski, or lineargaussian2f model
create normal pricer object for cap, floor, or swaption instrument using normal model
create sabr pricer object for swaption instrument using sabr model
create black pricer object for cap, floor, or swaption instrument using black model
create hullwhite pricer object for cap, floor, or swaption instrument using hullwhite model
create future pricer object for bondfuture, commodityfuture, equityindexfuture, and fxfuture using ratecurve object

topics

  • calibrate shifted sabr model parameters for swaption instrument

    calibrate model parameters for a swaption instrument when you use a sabr pricing method.


  • this example shows how to use two different methods to calibrate the sabr stochastic volatility model from market implied normal (bachelier) volatilities with negative strikes.


  • this example shows how to use two different methods to calibrate a sabr stochastic volatility model from market implied black volatilities.


  • this example shows how to price a swaption using the sabr model.


  • use objects to model and price financial instruments.


  • select instruments, associated models, and associated pricers.


  • financial instruments toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates using the object framework.


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


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

related information


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