Swaption
instrument object
Create and price a Swaption
instrument object using this
workflow:
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for a
Swaption
instrument, see Choose Instruments, Models, and Pricers.
creates a SwaptionInstrument
= fininstrument(InstrumentType
,'Strike
',strike_value,'ExerciseDate
',exercice_date)Swaption
object by specifying
InstrumentType
and sets the properties for the
required name-value pair arguments Strike
and
ExerciseDate
. For more information on a
Swaption
instrument, see More About.
sets optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, SwaptionInstrument
= fininstrument(___,Name,Value
)SwaptionInstrument =
fininstrument("Swaption",'Strike',0.67,'ExerciseDate',datetime(2019,1,30),'Swap',Swap_obj,'OptionType',"put",'ExerciseStyle',"European",'Name',"swaption_instrument")
creates a Swaption
put instrument with a strike of 0.67
and an European exercise. You can specify multiple name-value pair
arguments.