price

Compute price for equity instrument with AssetMonteCarlo pricer

Since R2020b

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 Touch Instrument Using Heston Model and AssetMonteCarlo Pricer

This example shows the workflow to price a Touch instrument when you use a Heston model and an AssetMonteCarlo pricing method.

Create Touch Instrument Object

Use fininstrument to create a Touch instrument object.

TouchOpt = fininstrument("Touch",'ExerciseDate',datetime(2022,9,15),'BarrierValue',110,'PayoffValue',140,'BarrierType',"OT",'Name',"touch_option")

TouchOpt = 
  Touch with properties:

    ExerciseDate: 15-Sep-2022
    BarrierValue: 110
     PayoffValue: 140
     BarrierType: "ot"
      PayoffType: "expiry"
            Name: "touch_option"

Create Heston Model Object

Use finmodel to create a Heston model object.

HestonModel = finmodel("Heston",'V0',0.032,'ThetaV',0.1,'Kappa',0.003,'SigmaV',0.2,'RhoSV',0.9)

HestonModel = 
  Heston with properties:

        V0: 0.0320
    ThetaV: 0.1000
     Kappa: 0.0030
    SigmaV: 0.2000
     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 AssetMonteCarlo Pricer Object

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

outPricer = finpricer("AssetMonteCarlo",'DiscountCurve',myRC,"Model",HestonModel,'SpotPrice',112,'simulationDates',datetime(2022,9,15))

outPricer = 
  HestonMonteCarlo with properties:

           DiscountCurve: [1x1 ratecurve]
               SpotPrice: 112
         SimulationDates: 15-Sep-2022
               NumTrials: 1000
           RandomNumbers: []
                   Model: [1x1 finmodel.Heston]
            DividendType: "continuous"
           DividendValue: 0
        MonteCarloMethod: "standard"
    BrownianMotionMethod: "standard"

Price Touch Instrument

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

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

Price = 63.5247

outPR = 
  priceresult with properties:

       Results: [1x8 table]
    PricerData: [1x1 struct]

outPR.Results 

ans=1×8 table
    Price      Delta     Gamma     Lambda       Rho      Theta      Vega     VegaLT
    ______    _______    ______    _______    _______    ______    ______    ______

    63.525    -7.2363    1.0541    -12.758    -320.21    3.5527    418.94    8.1498

Input Arguments

inpPricer — Pricer object

AssetMonteCarlo object

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

Data Types: object

inpInstrument — Instrument object

Vanilla object | Barrier object | Lookback object | Asian object | DoubleBarrier object | Spread object | Touch object | DoubleTouch object | Cliquet object | Binary object

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

• Vanilla

• Lookback

• Barrier

• Asian

• Spread

• DoubleBarrier

• Cliquet

• Binary

• Touch

• DoubleTouch

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'}
Lookback	{'delta','gamma','vega','theta','rho','price','lambda'}
Barrier	{'delta','gamma','vega','theta','rho','price','lambda'}
Asian	{'delta','gamma','vega','theta','rho','price','lambda'}
Spread	{'delta','gamma','vega','theta','rho','price','lambda}'
DoubleBarrier	{'delta','gamma','vega','theta','rho','price','lambda}'
Cliquet	{'delta','gamma','vega','theta','rho','price','lambda}'
Binary	{'delta','gamma','vega','theta','rho','price','lambda'}
Touch	{'delta','gamma','vega','theta','rho','price','lambda'}
DoubleTouch	{'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

Note

The inpPricer options that do not support sensitivities do not return a PriceResult. For example, there is no PriceResult returned for when you use a Black, CDSBlack, HullWhite, Normal, or SABR pricing method.

Version History

Introduced in R2020b