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 |
setExercisePolicy | Set exercise policy for FixedBondOption,
FloatBondOption, or Vanilla instrument |
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 |
price | Compute price for equity instrument with VannaVolga
pricer |
price | Compute price for Vanilla, Barrier,
Lookback, Asian, Spread,
DoubleBarrier, Touch, DoubleTouch,
or Binary instrument with AssetMonteCarlo
pricer |
price | Compute price for equity instrument with ReplicatingVarianceSwap
pricer |
Objects
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Equity, FX, and Commodity Instruments
Models for Equity, FX, and Commodity Instruments
BlackScholes | Create BlackScholes model object for an
Asian, Barrier,
DoubleBarrier, Lookback,
Spread, Vanilla, Touch,
DoubleTouch, or Binary instrument |
Heston | Create Heston model object for Vanilla,
Asian, Barrier,
DoubleBarrier, Lookback,
VarianceSwap, Touch,
DoubleTouch, or Binary instrument |
Bates | Create Bates model object for Vanilla,
Asian, Barrier,
DoubleBarrier, Lookback,
Touch, DoubleTouch, or
Binary instrument |
Dupire | Create Dupire model object for local volatility for
Vanilla instrument |
Merton | Create Merton model object for Vanilla,
Asian, Barrier,
DoubleBarrier, Lookback,
OneTouch, DoubleTouch, or
Binary instrument |
Pricers for Equity, FX, and Commodity Instruments
Monte Carlo, Finite Difference, Numerical Integration, FFT, Replicating Variance Swap Pricers for Vanilla, Barrier, or
Variance Swap Instruments
AssetMonteCarlo | Create AssetMonteCarlo pricer object for equity instruments
using BlackScholes, Merton,
Heston, or Bates model |
FiniteDifference | Create FiniteDifference pricer object for
Barrier, DoubleBarrier, 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 |
VannaVolga | Create VannaVolga pricer object for
Vanilla, Barrier,
DoubleBarrier, Touch, or
DoubleTouch instrument using BlackScholes
model |
ReplicatingVarianceSwap | Create ReplicatingVarianceSwap pricer object for
VarianceSwap instrument using ratecurve
object |
Closed-Form Pricers for Asian, Lookback, Spread, and Vanilla Instruments
BjerksundStensland | Create BjerksundStensland pricer object for
Vanilla or Spread instrument using
BlackScholes model |
BlackScholes | Create BlackScholes pricer object for
Vanilla, Barrier, Touch,
DoubleTouch, or Binary 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 |
IkedaKunitomo | Create IkedaKunitomo pricer object for
DoubleBarrier instrument using BlackScholes
model |
Heston | Create Heston pricer object for
VarianceSwap instrument using Heston
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 |