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Price Interest-Rate Instruments

Create interest-rate instrument object, associate the object with a model, and specify pricing method

Create an interest-rate instrument with or without optionality.

  • To create an interest-rate instrument object without optionality, use fininstrument, associate a ratecurve object using ratecurve, and then specify a pricing method using finpricer.

  • To create an interest-rate instrument object with optionality, use fininstrument, associate a ratecurve object using ratecurve and a model object using finmodel, and then specify a pricing method using finpricer.

Functions

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fininstrumentCreate specified instrument object type
finmodelCreate specified model object type
finpricerCreate pricing method
setPutExercisePolicySet put exercise policy for OptionEmbeddedFixedBond or OptionEmbeddedFloatBond instrument
setCallExercisePolicySet call exercise policy for OptionEmbeddedFixedBond or OptionEmbeddedFloatBond instrument
setExercisePolicySet exercise policy for FixedBondOption, FloatBondOption, or Vanilla instrument
priceCompute price for interest-rate, equity, or credit derivative instrument with Analytic pricer
priceCompute price for interest-rate instrument with Discount pricer
priceCompute price for interest-rate instrument with IRTree pricer
cashflowsComputes cash flow for FixedBond, FloatBond, Swap, FRA, or Deposit instrument
parswaprateCompute par swap rate for Swap instrument
volatilitiesCompute implied volatilities when using SABR pricer

Objects

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ratecurveCreate ratecurve object for interest-rate curve from dates and data
DepositDeposit instrument object
FixedBondFixedBond instrument object
FixedBondOptionFixedBondOption instrument object
FloatBondFloatBond instrument object
FloatBondOptionFloatBondOption instrument object
OptionEmbeddedFixedBondOptionEmbeddedFixedBond instrument object
OptionEmbeddedFloatBondOptionEmbeddedFloatBond instrument object
CapCap instrument object
FloorFloor instrument object
SwapSwap instrument object
SwaptionSwaption instrument object
FRAFRA instrument object
HullWhiteCreate HullWhite model object for Cap, Floor, Swaption, Swap, FixedBond, FloatBond, FloatBondOption, FixedBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument
BlackKarasinskiCreate BlackKarasinski model object for a Cap, FloorSwaption, Swap, FloatBond, FixedBond, FixedBondOption, FloatBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument
BlackCreate Black model object for Cap, Floor, or Swaption instrument
NormalCreate Normal model object for Cap, Floor, or Swaption instrument
SABRCreate SABR model object for Swaption instrument
DiscountCreate Discount pricer object for Deposit, FRA, Swap, FixedBond, or FloatBond using ratecurve object
IRTreeCreate IRTree pricer object for Cap, Floor, Swap, Swaption, FloatBond, FixedBond, FixedBondOption, FloatBondOption, OptionEmbeddedFixedBond, or OptionEmbeddedFloatBond instrument
NormalCreate Normal pricer object for Cap, Floor, or Swaption instrument using Normal model
SABRCreate SABR pricer object for Swaption instrument using SABR model
BlackCreate Black pricer object for Cap, Floor, or Swaption instrument using Black model
HullWhiteCreate HullWhite pricer object for Cap, Floor, or Swaption instrument using HullWhite model

Examples and How To

Calibrate Shifted SABR Model Parameters for Swaption Instrument

This example shows how to calibrate the shifted SABR model parameters for a Swaption instrument when you use a SABR pricing method.

Calibrate SABR Model Using Normal (Bachelier) Volatilities with Analytic Pricer

This example shows how to use two different methods to calibrate the SABR stochastic volatility model from market implied Normal (Bachelier) volatilities with negative strikes.

Calibrate SABR Model Using Analytic Pricer

This example shows how to use two different methods to calibrate a SABR stochastic volatility model from market implied Black volatilities.

Price a Swaption Using SABR Model and Analytic Pricer

This example shows how to price a swaption using the SABR model.

Concepts

Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments

Use objects to model and price financial instruments.

Choose Instruments, Models, and Pricers

Select instruments, associated models, and associated pricers.