Create ConzeViswanathan
pricer object for
Lookback
instrument using BlackScholes
model
Create and price a Lookback
instrument object with a
BlackScholes
model and a ConzeViswanathan
pricing method using this workflow:
Use fininstrument
to create a Lookback
instrument object.
Use finmodel
to specify
a BlackScholes
model for the Lookback
instrument.
Use finpricer
to
specify a ConzeViswanathan
pricer object for the
Lookback
instrument.
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 instruments, models, and pricing methods for a
Lookback
instrument, see Choose Instruments, Models, and Pricers.
creates a ConzeViswanathanPricerObj
= finpricer(PricerType
,'DiscountCurve
',ratecurve_obj,'Model
',model,'SpotPrice
',spotprice_value)ConzeViswanathan
pricer object by specifying
PricerType
and sets the properties for the
required name-value pair argument Model
,
DiscountCurve
, and SpotPrice
.
to set optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, ConzeViswanathanPricerObj
= finpricer(___,Name,Value
)ConzeViswanathanPricerObj =
finpricer("Analytic",'DiscountCurve',ratecurve_obj,'Model',BSModel,'SpotPrice',1000,'DividendType',"continuous",'DividendValue',100,'PricingMethod',"ConzeViswanathan")
creates a ConzeViswanathan
pricer object.
price | Compute price for interest-rate, equity, or credit derivative instrument with
Analytic pricer |