Price Interest-Rate Instruments

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

Create an interest-rate instrument with or without optionality.

To create an interest-rate instrument object without optionality, use fininstrument, associate a ratecurve object using ratecurve, and then specify a pricing method using finpricer.
To create an interest-rate instrument object with optionality, use fininstrument, associate a ratecurve object using ratecurve and a model object using finmodel, and then specify a pricing method using finpricer.

Functions

Create Instrument, Model, and Pricer

`fininstrument`	Create specified instrument object type
`finmodel`	Create specified model object type
`finpricer`	Create pricing method
`setPutExercisePolicy`	Set put exercise policy for `OptionEmbeddedFixedBond` or `OptionEmbeddedFloatBond` instrument
`setCallExercisePolicy`	Set call exercise policy for `OptionEmbeddedFixedBond` or `OptionEmbeddedFloatBond` instrument
`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 interest-rate instrument with `Discount` pricer
`price`	Compute price for interest-rate instrument with `IRTree` pricer
`cashflows`	Computes cash flow for `FixedBond`, `FloatBond`, `Swap`, `FRA`, or `Deposit` instrument
`parswaprate`	Compute par swap rate for `Swap` instrument
`volatilities`	Compute implied volatilities when using `SABR` pricer

Objects

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Underlying Interest-Rate Curve

ratecurve Create ratecurve object for interest-rate curve from dates and data

Interest-Rate Instruments

`Deposit`	`Deposit` instrument object
`FixedBond`	`FixedBond` instrument object
`FixedBondOption`	`FixedBondOption` instrument object
`FloatBond`	`FloatBond` instrument object
`FloatBondOption`	`FloatBondOption` instrument object
`OptionEmbeddedFixedBond`	`OptionEmbeddedFixedBond` instrument object
`OptionEmbeddedFloatBond`	`OptionEmbeddedFloatBond` instrument object
`Cap`	`Cap` instrument object
`Floor`	`Floor` instrument object
`Swap`	`Swap` instrument object
`Swaption`	`Swaption` instrument object
`FRA`	`FRA` instrument object

Models for Interest-Rate Instruments

`HullWhite`	Create `HullWhite` model object for `Cap`, `Floor`, `Swaption`, `Swap`, `FixedBond`, `FloatBond`, `FloatBondOption`, `FixedBondOption`, `OptionEmbeddedFixedBond`, or `OptionEmbeddedFloatBond` instrument
`BlackKarasinski`	Create `BlackKarasinski` model object for a `Cap`, `FloorSwaption`, `Swap`, `FloatBond`, `FixedBond`, `FixedBondOption`, `FloatBondOption`, `OptionEmbeddedFixedBond`, or `OptionEmbeddedFloatBond` instrument
`Black`	Create `Black` model object for `Cap`, `Floor`, or `Swaption` instrument
`Normal`	Create `Normal` model object for `Cap`, `Floor`, or `Swaption` instrument
`SABR`	Create `SABR` model object for `Swaption` instrument

Pricers for Interest-Rate Instruments

`Discount`	Create `Discount` pricer object for `Deposit`, `FRA`, `Swap`, `FixedBond`, or `FloatBond` using `ratecurve` object
`IRTree`	Create `IRTree` pricer object for `Cap`, `Floor`, `Swap`, `Swaption`, `FloatBond`, `FixedBond`, `FixedBondOption`, `FloatBondOption`, `OptionEmbeddedFixedBond`, or `OptionEmbeddedFloatBond` instrument
`Normal`	Create `Normal` pricer object for `Cap`, `Floor`, or `Swaption` instrument using `Normal` model
`SABR`	Create `SABR` pricer object for `Swaption` instrument using `SABR` model
`Black`	Create `Black` pricer object for `Cap`, `Floor`, or `Swaption` instrument using `Black` model
`HullWhite`	Create `HullWhite` pricer object for `Cap`, `Floor`, or `Swaption` instrument using `HullWhite` model

Examples and How To

Calibrate Shifted SABR Model Parameters for Swaption Instrument

This example shows how to calibrate the shifted SABR model parameters for a Swaption instrument when you use a SABR pricing method.

Calibrate SABR Model Using Normal (Bachelier) Volatilities with Analytic Pricer

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.

Calibrate SABR Model Using Analytic Pricer

This example shows how to use two different methods to calibrate a SABR stochastic volatility model from market implied Black volatilities.

Price a Swaption Using SABR Model and Analytic Pricer

This example shows how to price a swaption using the SABR model.