Create Discount
pricer object for Deposit
,
FRA
, Swap
, FixedBond
, or
FloatBond
using ratecurve
object
Create and price a Deposit
, FRA
,
Swap
, FixedBond
, or
FloatBond
instrument object with a ratecurve
and a Discount
pricing method using this workflow:
Create an interest-rate curve object using ratecurve
.
Use finpricer
to
specify a Discount
pricer object for the Deposit
,
FRA
, Swap
, FixedBond
,
or FloatBond
instrument.
Note
If you do not specify ProjectionCurve
when you
create a Swap
or FloatBond
instrument with the Discount
pricer, the
ProjectionCurve
value defaults to the
DiscountCurve
value.
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
Deposit
, FRA
, Swap
,
FixedBond
, or FloatBond
instrument, see Choose Instruments, Models, and Pricers.
creates a DiscountPricerObj
= finpricer(PricerType
,'DiscountCurve
',ratecurve_object)Discount
pricer object by specifying
PricerType
and the required name-value pair
argument DiscountCurve
to set properties using
name-value pairs. For example, DiscountPricerObj =
finpricer("Discount",'DiscountCurve',ratecurve_obj)
creates a
Discount
pricer object.
price | Compute price for interest-rate instrument with Discount
pricer |