price

Compute price for equity instrument with RoughVolMonteCarlo pricer

Since R2024a

Syntax

[Price,PriceResult] = price(inpPricer,inpInstrument)

[Price,PriceResult] = price(___,inpSensitivity)

Description

[Price,PriceResult] = price(inpPricer,inpInstrument) computes the equity instrument price and related pricing information based on the pricing object inpPricer and the instrument object inpInstrument.

[Price,PriceResult] = price(___,inpSensitivity) adds an optional argument to specify sensitivities. Use this syntax with the input argument combination in the previous syntax.

Examples

Price Asian Instrument Using RoughBergomi Model and RoughVolMonteCarlo Pricer to

This example shows the workflow to price a fixed-strike Asian instrument when you use a RoughBergomi model and an RoughVolMonteCarlo pricing method.

Create Asian Instrument Object

Use fininstrument to create an Asian instrument object.

AsianOpt = fininstrument("Asian",'ExerciseDate',datetime(2019,1,30),'Strike',1000,'OptionType',"put",'Name',"asian_option")

AsianOpt = 
  Asian with properties:

          OptionType: "put"
              Strike: 1000
         AverageType: "arithmetic"
        AveragePrice: 0
    AverageStartDate: NaT
       ExerciseStyle: "european"
        ExerciseDate: 30-Jan-2019
                Name: "asian_option"

Create RoughBergomi Model Object

Use finmodel to create a RoughBergomi model object.

RoughBergomiModel = finmodel("RoughBergomi",Alpha=-0.32, Xi=0.1,Eta=0.003,RhoSV=0.9)

RoughBergomiModel = 
  RoughBergomi with properties:

    Alpha: -0.3200
       Xi: 0.1000
      Eta: 0.0030
    RhoSV: 0.9000

Create ratecurve Object

Create a flat ratecurve object using ratecurve.

Settle = datetime(2018,9,15);
Maturity = datetime(2023,9,15);
Rate = 0.035;
myRC = ratecurve('zero',Settle,Maturity,Rate,'Basis',12)

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 12
                Dates: 15-Sep-2023
                Rates: 0.0350
               Settle: 15-Sep-2018
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create RoughVolMonteCarlo Pricer Object

Use finpricer to create an RoughVolMonteCarlo pricer object and use the ratecurve object for the 'DiscountCurve' name-value argument.

outPricer = finpricer("RoughVolMonteCarlo",DiscountCurve=myRC,Model=RoughBergomiModel,SpotPrice=900,simulationDates=datetime(2019,1,30))

outPricer = 
  RoughBergomiMonteCarlo with properties:

           DiscountCurve: [1x1 ratecurve]
               SpotPrice: 900
         SimulationDates: 30-Jan-2019
               NumTrials: 1000
           RandomNumbers: []
                   Model: [1x1 finmodel.RoughBergomi]
            DividendType: "continuous"
           DividendValue: 0
        MonteCarloMethod: "standard"
    BrownianMotionMethod: "standard"

Price Asian Instrument

Use price to compute the price and sensitivities for the Asian instrument.

[Price, outPR] = price(outPricer,AsianOpt,"all")

Price = 103.0639

outPR = 
  priceresult with properties:

       Results: [1x7 table]
    PricerData: [1x1 struct]

outPR.Results 

ans=1×7 table
    Price      Delta        Gamma      Lambda       Rho       Theta      Vega 
    ______    ________    _________    _______    _______    _______    ______

    103.06    -0.77793    0.0024128    -6.7932    -166.05    -1.4838    88.272

Input Arguments

inpPricer — Pricer object

RoughVolMonteCarlo object

Pricer object, specified as a previously created RoughVolMonteCarlo pricer object. Create the pricer object using finpricer.

Data Types: object

inpInstrument — Instrument object

Vanilla object | Asian object | object | Cliquet object | Binary object

Instrument object, specified as a scalar or a vector of previously created instrument objects. Create the instrument objects using fininstrument. The following instrument objects are supported:

• Vanilla

• Asian

• Cliquet

• Binary

Data Types: object

inpSensitivity — List of sensitivities to compute

[] (default) | string array with values dependent on pricer object | cell array of character vectors with values dependent on pricer object

(Optional) List of sensitivities to compute, specified as an NOUT-by-1 or 1-by-NOUT cell array of character vectors or string array.

The supported sensitivities depend on the pricing method.

inpInstrument Object	Supported Sensitivities
Vanilla	{'delta','gamma','vega', 'theta','rho','price','lambda'}
Asian	{'delta','gamma','vega','theta','rho','price','lambda'}
Cliquet	{'delta','gamma','vega','theta','rho','price','lambda}'
Binary	{'delta','gamma','vega','theta','rho','price','lambda'}

inpSensitivity = {'All'} or inpSensitivity = ["All"] specifies that all sensitivities for the pricing method are returned. This is the same as specifying inpSensitivity to include each sensitivity.

Example: inpSensitivity = ["delta","gamma","vega","lambda","rho","theta","price"]

Data Types: cell | string

Output Arguments

Price — Instrument price

numeric

Instrument price, returned as a numeric.

PriceResult — Price result

PriceResult object

Price result, returned as a PriceResult object. The object has the following fields:

• PriceResult.Results — Table of results that includes sensitivities (if you specify inpSensitivity)

• PriceResult.PricerData — Structure for pricer data

Version History

Introduced in R2024a