%% Price Swaption Instrument Using Hull-White Model and IRTree Pricer
% This example shows the workflow to price a Swaption instrument when you use a HullWhite model and an IRTree pricing method.
%% Create ratecurve Object
% Create a ratecurve object using ratecurve.

Settle = datetime(2018,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)

%% Create Swap Instrument Object
% Use fininstrument to create the underlying Swap instrument object.

Swap = fininstrument("Swap",'Maturity',datetime(2027,3,15),'LegRate',[0 0],'LegType',...
    ["float","fixed"],'Notional',100,'StartDate',datetime(2022,3,15),'Name',"swap_instrument")

%% Create Swaption Instrument Object
% Use fininstrument to create a Swaption instrument object.

Swaption = fininstrument("Swaption",'Strike',0.02,'ExerciseDate',datetime(2022,3,15),'Swap',Swap,'Name',"swaption_option")

%
%% Create HullWhite Model Object
% Use finmodel to create a HullWhite model object.

HullWhiteModel = finmodel("HullWhite",'Alpha',0.032,'Sigma',0.04)

%% Create IRTree Pricer Object
% Use finpricer to create an IRTree pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("IRTree",'Model',HullWhiteModel,'DiscountCurve',myRC,'TreeDates',ZeroDates)

%% Price Swaption Instrument
% Use price to compute the price and sensitivities for the Swaption instrument.

[Price, outPR] = price(outPricer,Swaption,["all"])
outPR.Results

% Copyright 2020 The MathWorks, Inc.