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

FloorOpt = fininstrument("Floor",'Strike',0.02,'Maturity',datetime(2019,1,30),'Reset',4,'Principal',100,'Basis',8,'Name',"floor_option")

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

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

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

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

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

Price = price(outPricer,FloorOpt)

% Copyright 2019 The MathWorks, Inc.