%% Use Black Model and Black Pricer to Price Cap Instrument
% This example shows the workflow to price a Cap instrument when you use a Black model and a Black pricing method.
%% Create Cap Instrument Object
% Use fininstrument to create a Cap instrument object.

CapOpt = fininstrument("Cap",'Strike',.001,'Maturity',datetime(2019,1,30),'Reset',4,'Principal',100,'Basis',8,'Name',"cap_option")

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

BlackModel = finmodel("Black",'Volatility',0.032,'Shift',0.002)

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

outPricer = finpricer("analytic",'Model',BlackModel,'DiscountCurve',myRC)

%% Price Cap Instrument
% Use price to compute the price for the Cap instrument.

Price = price(outPricer,CapOpt)

% Copyright 2019 The MathWorks, Inc.