%% Price Float Bond Option Instrument Using Hull-White Model and IRMonteCarlo Pricer
% This example shows the workflow to price a FloatdBondOption instrument when using a HullWhite model and an IRMonteCarlo pricing method.
%% Create FloatBond Instrument Object
% Use fininstrument to create a FloatBond instrument object as the underlying bond.

BondInst = fininstrument("FloatBond",'Maturity',datetime(2030,9,15),'Spread',0.021,'Name',"bond_instrument")

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

FloatBOptionEuro = fininstrument("FloatBondOption",'ExerciseDate',datetime(2020,3,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"european",'Name',"float_bond_option_european")

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

HullWhiteModel = finmodel("HullWhite",'Alpha',0.32,'Sigma',0.49)

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

Settle = datetime(2019,1,1);
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 IRMonteCarlo Pricer Object
% Use finpricer to create an IRMonteCarlo pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("IRMonteCarlo",'Model',HullWhiteModel,'DiscountCurve',myRC,'SimulationDates',datetime(2019,3,15)+calmonths(0:6:48)')

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

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

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