Create AssetMonteCarlo
pricer object for equity instruments
using BlackScholes
, Merton
,
Heston
, or Bates
model
Create and price a Vanilla
, Barrier
,
Lookback
, Asian
, Spread
,
DoubleBarrier
, Touch
,
DoubleTouch
, Binary
instrument object with a
BlackScholes
, Merton
,
Heston
, or Bates
model and a
AssetMonteCarlo
pricing method using this
workflow:
Use fininstrument
to create a Vanilla
,
Barrier
,
Lookback
,
Asian
, Spread
,
DoubleBarrier
, Binary
,
Touch
, or
DoubleTouch
instrument object.
Use finmodel
to specify
a BlackScholes
model for the Vanilla
,
Barrier
, Lookback
,
Asian
, Spread
,
DoubleBarrier
, Touch
,
DoubleTouch
, or Binary
instrument.
Use finmodel
to specify
a Merton
, Bates
, or Heston
model for
the Vanilla
, Barrier
,
Lookback
, Asian
,
DoubleBarrier
, Touch
,
DoubleTouch
, or Binary
instrument.
Use finpricer
to
specify a AssetMonteCarlo
pricer object for the
Vanilla
, Barrier
,
Lookback
, Asian
,
Spread
, DoubleBarrier
,
Touch
, DoubleTouch
, or
Binary
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
Vanilla
, Barrier
, Lookback
,
Asian
, Spread
,
DoubleBarrier
, Touch
,
DoubleTouch
, or Binary
instruments, see Choose Instruments, Models, and Pricers.
creates a AssetMonteCarloPricerObj
= finpricer(PricerType
,'Model
',model,'DiscountCurve
',ratecurve_obj,'SpotPrice
',spotprice_value,'SimulationDates
',simulation_dates,)AssetMonteCarlo
pricer object by specifying
PricerType
and sets the properties using
the required name-value pair arguments Model
,
DiscountCurve
, SpotPrice
, and
SimulationDates
.
sets optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, AssetMonteCarloPricerObj
= finpricer(___,Name,Value
)AssetMonteCarloPricerObj =
finpricer("assetmontecarlo",'Model',BSModel,'DiscountCurve',ratecurve_obj,'SpotPrice',1000,'SimulationDates',[datetime(2018,1,30);
datetime(2019,1,30)],'NumTrails',500,'DividendType','continuous','DividendValue',0.3)
creates an AssetMonteCarlo
pricer object using a
BlackScholes
model. You can specify multiple
name-value pair arguments.
price | Compute price for Vanilla , Barrier ,
Lookback , Asian , Spread ,
DoubleBarrier , Touch , DoubleTouch ,
or Binary instrument with AssetMonteCarlo
pricer |