Create IRTree
pricer object for Cap
,
Floor
, Swap
, Swaption
,
FloatBond
, FixedBond
,
FixedBondOption
, FloatBondOption
,
OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument
Create and price a Cap
, Floor
,
Swap
, Swaption
, FloatBond
,
FixedBond
, FixedBondOption
,
FloatBondOption
, OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument object with a
HullWhite
or BlackKarasinski
model and an
IRTree
pricing method using this workflow:
Use fininstrument
to create a Cap
, Floor
, Swaption
,
Swap
, FloatBond
,
FixedBond
,
FixedBondOption
, FloatBondOption
, OptionEmbeddedFixedBond
, or OptionEmbeddedFloatBond
instrument object.
Use finmodel
to specify
a HullWhite
or
BlackKarasinski
model for the Cap
,
Floor
, Swaption
,
Swap
, FixedBond
,
FloatBond
, FixedBondOption
,
FloatBondOption
,
OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument.
Use finpricer
to
specify an IRTree
pricer object for a BK or HW trinomial
tree model for the Cap
, Floor
,
Swaption
, Swap
,
FixedBond
, FloatBond
,
FixedBondOption
, FloatBondOption
,
OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available instruments, models, and pricing methods for a
Cap
, Floor
, Swaption
,
Swap
, FixedBond
, FloatBond
,
FloatBondOption
, OptionEmbeddedFixedBond
, or
OptionEmbeddedFloatBond
instrument, see Choose Instruments, Models, and Pricers.
creates a IRTreePricerObj
= finpricer(PricerType
,'Model
',model_type,'DiscountCurve
',ratecurve_obj,'TreeDates
',tree_dates)IRTree
pricer object by specifying
PricerType
and the required name-value pair
arguments for Model
,
DiscountCurve
, and TreeDates
to
set properties using name-value
pair arguments. For example, IRTreePricerObj =
finpricer("IRTree",'Model',HullWhite,'DiscountCurve',ratecure_obj,'TreeDates',['jan-30-2018';'jan-30-2019'])
creates an IRTree
pricer object.
price | Compute price for interest-rate instrument with IRTree
pricer |
[1] Hull, John, and Alan White. “The General Hull–White Model and Supercalibration.” Financial Analysts Journal, vol. 57, no. 6, Nov. 2001, pp. 34–43.