%% Price Touch Instrument Using Heston Model and Asset Monte Carlo Pricer
% This example shows the workflow to price a Touch instrument when you use a Heston model and an AssetMonteCarlo pricing method.
%% Create Touch Instrument Object
% Use fininstrument to create a Touch instrument object.

TouchOpt = fininstrument("Touch",'ExerciseDate',datetime(2022,9,15),'BarrierValue',110,'PayoffValue',140,'BarrierType',"OT",'Name',"touch_option")

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

HestonModel = finmodel("Heston",'V0',0.032,'ThetaV',0.1,'Kappa',0.003,'SigmaV',0.2,'RhoSV',0.9)

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

outPricer = finpricer("AssetMonteCarlo",'DiscountCurve',myRC,"Model",HestonModel,'SpotPrice',112,'simulationDates',datetime(2022,9,15))

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

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

% Copyright 2020 The MathWorks, Inc.