applicationMatrix

Class: numerixCrossAsset

Create and register Numerix CROSSASSET Application Matrix object

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Syntax

applicationMatrix(C,Desc,Rdata,Cdata,Mdata)

Description

applicationMatrix(C,Desc,Rdata,Cdata,Mdata) creates the CROSSASSET Application Matrix object from the row information (Rdata), column information (Cdata), and matrix (Mdata).

Input Arguments

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Connection object to Numerix® CROSSASSET, specified using the numerixCrossAsset constructor.

Description of data, specified as a character vector or cell array of character vectors.

Data Types: char | cell

Row information for Application Matrix object, specified using numeric values.

Example: Rdata = [41992,42020,42449,42905,43115];

Data Types: double

Column information for Application Matrix object, specified as numeric values.

Example: Cdata = [390,395,400,405];

Data Types: double

Volatility information for Application Matrix object, specified as numeric values.

Example: Mdata = [0.35778, 0.35132, 0.34394, 0.33582;...
0.33405, 0.32819, 0.32669, 0.31904;...
0.31576, 0.31235, 0.30371, 0.30261;...
0.29391, 0.29366, 0.28962, 0.28932;...
0.28787, NaN, 0.28347, NaN ];

Data Types: double

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes.

Examples

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Create a volatility matrix with dates describing the rows and strike prices describing the columns with the description BYSTRIKEVOLDATA. Missing values in the matrix input are denoted as NaN.

Create a Numerix CROSSASSET object.

c = numerixCrossAsset;

Define the matrix data. 

rowData = [41992, 42020, 42449, 42905, 43115];
colData = [390, 395, 400, 405];
volData = [0.35778, 0.35132, 0.34394, 0.33582;...
           0.33405, 0.32819, 0.32669, 0.31904;...
           0.31576, 0.31235, 0.30371, 0.30261;...
           0.29391, 0.29366, 0.28962, 0.28932;...
           0.28787, NaN,     0.28347, NaN    ];

Create and register a Numerix CROSSASSET Application Matrix object.

applicationMatrix(c,'BYSTRIKEVOLDATA',rowData,colData,volData);

See Also

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Topics

External Websites

Introduced in R2016b

Financial Instruments Toolbox Documentation

Support