[Delta,Gamma,Vega,Price]
= sttsens(___,Name,Value)
to generate instrument sensitivities and prices using a standard trinomial (STT)
tree with an optional name-value pair argument for
Options.
STTTree and STTInstSet are the input arguments required to call the function sttprice. Use the command instdisp to examine the set of instruments contained in the variable STTInstSet.
instdisp(STTInstSet)
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt Name Quantity
1 OptStock call 100 01-Jan-2009 01-Jan-2011 1 Call1 10
2 OptStock put 80 01-Jan-2009 01-Jan-2012 0 Put1 5
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt BarrierSpec Barrier Rebate Name Quantity
3 Barrier call 105 01-Jan-2009 01-Jan-2012 1 ui 115 0 Barrier1 1
Index Type UOptSpec UStrike USettle UExerciseDates UAmericanOpt COptSpec CStrike CSettle CExerciseDates CAmericanOpt Name Quantity
4 Compound call 95 01-Jan-2009 01-Jan-2012 1 put 5 01-Jan-2009 01-Jan-2011 1 Compound1 3
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt Name Quantity
5 Lookback call 90 01-Jan-2009 01-Jan-2012 0 Lookback1 7
6 Lookback call 95 01-Jan-2009 01-Jan-2013 0 Lookback2 9
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt AvgType AvgPrice AvgDate Name Quantity
7 Asian call 100 01-Jan-2009 01-Jan-2012 0 arithmetic NaN NaN Asian1 4
8 Asian call 100 01-Jan-2009 01-Jan-2013 0 arithmetic NaN NaN Asian2 6
The instrument set contains eight instruments:
Two vanilla options (Call1, Put1)
One barrier option (Barrier1)
One compound option (Compound1)
Two lookback options (Lookback1, Lookback2)
Two Asian options (Asian1, Asian2)
Use sttsens to calculate the price and sensitivities for each instrument in the instrument set.
STTTree — Stock tree structure for standard trinomial tree structure
Stock tree structure for a standard trinomial tree, specified by using
stttree.
Data Types: struct
InstSet — Variable containing a collection instruments structure
Variable containing a collection of NINST instruments,
specified as a structure. Instruments are broken down by type and each type
can have different data fields.
Data Types: struct
Name-Value Pair Arguments
Specify optional
comma-separated pairs of Name,Value arguments. Name is
the argument name and Value is the corresponding value.
Name must appear inside quotes. You can specify several name and value
pair arguments in any order as
Name1,Value1,...,NameN,ValueN.
Delta — Rate of change of instruments prices with respect to changes in the stock price vector of deltas
Rate of change of instrument prices with respect to changes in the stock
price, returned as a NINST-by-1 vector
of deltas. For more information on the stock tree, see stttree.
Gamma — Rate of change of instrument deltas with respect to changes in the stock price vector of gammas
Rate of change of instrument deltas with respect to changes in the stock
price, returned as a NINST-by-1 vector
of gammas.
Vega — Rate of change of instrument prices with respect to changes in the volatility of the stock price vector of vegas
Rate of change of instrument prices with respect to changes in the
volatility of the stock price, returned as a
NINST-by-1 vector of vegas. For
more information on the stock tree, see stttree.
Price — Expected prices for each instrument at time 0 matrix
Expected prices for each instrument at time 0, returned
as a NINST-by-1 vector. The prices are
computed by backward dynamic programming on the standard trinomial (STT)
stock tree. If an instrument cannot be priced, a NaN is
returned in that entry.
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