price

Compute price for interest-rate instrument with IRMonteCarlo pricer

Since R2021b

collapse all in page

Syntax

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

Description

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

example

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

example

Examples

collapse all

Open Live Script

This example shows the workflow to price a FixedBond instrument when using a HullWhite model and an IRMonteCarlo pricing method.

Create FixedBond Instrument Object

Use fininstrument to create a FixedBond instrument object. 

FixB = fininstrument("FixedBond","Maturity",datetime(2022,9,15),"CouponRate",0.05,'Name',"fixed_bond")
FixB = 
  FixedBond with properties:

                  CouponRate: 0.0500
                      Period: 2
                       Basis: 0
                EndMonthRule: 1
                   Principal: 100
    DaycountAdjustedCashFlow: 0
       BusinessDayConvention: "actual"
                    Holidays: NaT
                   IssueDate: NaT
             FirstCouponDate: NaT
              LastCouponDate: NaT
                   StartDate: NaT
                    Maturity: 15-Sep-2022
                        Name: "fixed_bond"

Create HullWhite Model Object

Use finmodel to create a HullWhite model object. 

HullWhiteModel = finmodel("HullWhite",'Alpha',0.32,'Sigma',0.49)
HullWhiteModel = 
  HullWhite with properties:

    Alpha: 0.3200
    Sigma: 0.4900

Create ratecurve Object

Create a ratecurve object using ratecurve. 

Settle = datetime(2019,1,1);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10×1 datetime]
                Rates: [10×1 double]
               Settle: 01-Jan-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create IRMonteCarlo Pricer Object

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

outPricer = finpricer("IRMonteCarlo",'Model',HullWhiteModel,'DiscountCurve',myRC,'SimulationDates',ZeroDates)
outPricer = 
  HWMonteCarlo with properties:

          NumTrials: 1000
      RandomNumbers: []
      DiscountCurve: [1×1 ratecurve]
    SimulationDates: [01-Jul-2019    01-Jan-2020    01-Jan-2021    01-Jan-2022    01-Jan-2023    01-Jan-2024    01-Jan-2026    01-Jan-2029    01-Jan-2039    01-Jan-2049]
              Model: [1×1 finmodel.HullWhite]

Price FixedBond Instrument

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

[Price,outPR] = price(outPricer,FixB,["all"])
Price = 
115.0303

outPR = 
  priceresult with properties:

       Results: [1×4 table]
    PricerData: [1×1 struct]


outPR.Results
ans=1×4 table
    Price      Delta     Gamma     Vega
    ______    _______    ______    ____

    115.03    -397.13    1430.4     0

Input Arguments

collapse all

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

Data Types: object

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

Data Types: 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.

inpInstrumentSupported Sensitivities
Cap{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
Floor{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
Swap{'delta','gamma','vega','price'}
Swaption{'delta','gamma','vega','price'}
FixedBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
OptionEmbeddedFixedBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
FixedBondOption{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
FloatBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
FloatBondOption{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)
OptionEmbeddedFloatBond{'delta','gamma','vega','price'} ('vega' not supported when using SABRBraceGatarekMusiela model with the IRMonteCarlo pricer.)

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","price"]

Data Types: cell | string

Output Arguments

collapse all

Instrument price, returned as a numeric.

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

More About

collapse all

Version History

Introduced in R2021b

See Also

| |

Topics