%% Use Bjerksund-Stensland Pricer and Black-Scholes Model to Price Spread Instrument
% This example shows the workflow to price a European exercise Spread instrument when you use a BlackScholes model and a BjerksundStensland pricing method.
%% Create Spread Instrument Object
% Use fininstrument to create a Spread instrument object.

SpreadOpt = fininstrument("Spread",'Strike',5,'ExerciseDate',datetime(2021,9,15),'OptionType',"put",'ExerciseStyle',"european",'Name',"spread_option")

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

BlackScholesModel = finmodel("BlackScholes",'Volatility',[0.2,0.1])

%% Create ratecurve Object
% Create a flat ratecurve object using ratecurve.

Settle = datetime(2018,9,15);
Maturity = datetime(2023,9,15);
Rate = 0.035;
myRC = ratecurve('zero',Settle,Maturity,Rate,'Basis',12)

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

outPricer = finpricer("analytic",'Model',BlackScholesModel,'DiscountCurve',myRC,'SpotPrice',[100,105],'DividendValue',[0.09,0.17],'PricingMethod',"BjerksundStensland")

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

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

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% Copyright 2019 The MathWorks, Inc.