Price Equity, FX, or Commodity Instruments

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

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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Create Instrument, Model, Pricer

`fininstrument`	Create specified instrument object type
`finmodel`	Create specified model object type
`finpricer`	Create pricing method
`price`	Compute price for interest-rate, equity, or credit derivative instrument with `Analytic` pricer
`price`	Compute price for equity instrument with `FiniteDifference` pricer
`price`	Compute price for equity instrument with `FFT` pricer
`price`	Compute price for equity instrument with `NumericalIntegration` pricer

Objects

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Equity, FX, and Commodity Instruments

`Vanilla`	`Vanilla` instrument object
`Lookback`	`Lookback` instrument
`Barrier`	`Barrier` instrument object
`Asian`	`Asian` instrument object
`Spread`	`Spread` instrument object

Models for Equity, FX, and Commodity Instruments

`BlackScholes`	Create `BlackScholes` model object for an `Asian`, `Barrier`, `Lookback`, `Spread`, or `Vanilla` instrument
`Heston`	Create `Heston` model object for `Vanilla` instrument
`Bates`	Create `Bates` model object for `Vanilla` instrument
`Dupire`	Create `Dupire` model object for local volatility for `Vanilla` instrument
`Merton`	Create `Merton` model object for `Vanilla` instrument

Pricers for Equity, FX, and Commodity Instruments

Finite Difference, Numerical Integration, and FFT Pricers for Vanilla and Barrier Instruments

`FiniteDifference`	Create `FiniteDifference` pricer object for `Barrier` or `Vanilla` instrument using a `BlackScholes`, `Heston`, `Merton`, or `Bates` model
`NumericalIntegration`	Create `NumericalIntegration` pricer object for `Vanilla` instrument using `Heston`, `Bates`, or `Merton` model
`FFT`	Create `FFT` pricer object for `Vanilla` instrument using `Merton`, `Heston`, or `Bates` model

Closed-Form Pricers for Asian, Lookback, Spread, and Vanilla Instruments

`BjerksundStensland`	Create `BjerksundStensland` pricer object for `Vanilla` or `Spread` using `BlackScholes` model
`BlackScholes`	Create `BlackScholes` pricer object for `Vanilla`, `Lookback`, `Barrier`, `Asian`, or `Spread` instrument using `BlackScholes` model
`ConzeViswanathan`	Create `ConzeViswanathan` pricer object for `Lookback` instrument using `BlackScholes` model
`GoldmanSosinGatto`	Create `GoldmanSosinGatto` pricer object for `Lookback` instrument using `BlackScholes` model
`KemnaVorst`	Create `KemnaVorst` pricer object for `Asian` instrument using `BlackScholes` model
`Kirk`	Create `Kirk` pricer object for `Spread` instrument using `BlackScholes` model
`Levy`	Create `Levy` pricer object for `Asian` instrument using `BlackScholes` model
`RollGeskeWhaley`	Create `RollGeskeWhaley` pricer object for American exercise `Vanilla` instrument using `BlackScholes` model
`TurnbullWakeman`	Create `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.

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.

Documentation