Set or modify derivatives pricing options
Options = derivset(Options,'Parameter1',Value1,
... 'Parameter4',Value4)
Options = derivset(OldOptions,NewOptions)
Options = derivset
derivset
| (Optional) Existing options specification structure,
probably created from a previous call to |
| The parameter must be |
| (BDT, BK, HJM, or HW pricing only) The parameter values
for the following three options can be
For pricing barrier options, the |
| Existing options specification structure. |
| New options specification structure. |
Options = derivset(Options,'Parameter1',Value1,
... 'Parameter4',Value4) creates a derivatives pricing
options structure Options in which the named parameters
have the specified values. Any unspecified value is set to the default
value for that parameter when Options is passed
to the pricing function. It is sufficient to type only the leading
characters that uniquely identify the parameter name. Case is also
ignored for parameter names.
If the optional input argument Options is
specified, derivset modifies an existing pricing
options structure by changing the named parameters to the specified
values.
For parameter values, correct case and the complete character vector values are required; if an invalid character vector value is provided, the default is used.
Options = derivset(OldOptions,NewOptions)
combines an existing options structure OldOptions with
a new options structure NewOptions. Any parameters
in NewOptions with nonempty values overwrite the
corresponding old parameters in OldOptions.
Options = derivset creates
an options structure Options whose fields are set
to the default values.
derivset with no input
or output arguments displays all parameter names and information about
their possible values.
Options = derivset('Diagnostics','on')
enables the display of additional diagnostic information that appears when executing pricing functions.
Options = derivset(Options, 'ConstRate', 'off')
changes the ConstRate parameter in the existing Options structure
so that the assumption of constant rates between tree nodes no longer
applies.
With no input or output arguments, derivset displays
all parameter names and information about their possible values.
derivset
Diagnostics: [ on | {off} ]
Warnings: [ {on} | off ]
ConstRate: [ {on} | off ]
BarrierMethod: [ {unenhanced} | interp ]