derivget
Get derivatives pricing options
Description
extracts the value of the specified Value
= derivget(Options
,ParameterName
)ParameterName
argument values
from the derivative Options
structure.
Examples
Get Derivatives Pricing Options
Enable the display of additional diagnostic information that appears when executing pricing functions
Options = derivset('Diagnostics','on')
Options = struct with fields:
Diagnostics: 'on'
Warnings: 'on'
ConstRate: 'on'
BarrierMethod: 'unenhanced'
Use derivget
to extract the value of Diagnostics
from the Options
structure.
Value = derivget(Options, 'Diagnostics')
Value = 'on'
Use derivget
to extract the value of ConstRate
.
Value = derivget(Options, 'ConstRate')
Value = 'on'
If the value of 'ConstRate'
is not previously set with derivset
, the answer represents the default setting for 'ConstRate'
.
Find the value of 'BarrierMethod'
in this Options structure.
derivget(Options ,'BarrierMethod')
ans = 'unenhanced'
Input Arguments
Options
— Existing options specification
structure
Existing options specification, specified as a structure obtained from a
previous call to derivset
.
Data Types: struct
ParameterName
— Parameter name to be accessed in Options
structure
character vector with value of 'Diagnostics'
,
'Warnings'
, 'ConstRate'
, or
'BarrierMethod'
Parameter name to be accessed in Options
structure,
specified as a character vector for one of the following:
'Diagnostics'
— Print diagnostic information with a returned value of'on'
or'off'
. This option applies only for HJM, BDT, HW and BK pricing.'Warnings'
— Display warnings with a returned value of'on'
or'off'
. This option applies only for HJM, BDT, HW and BK pricing.'ConstRate'
— Assume constant rates between tree nodes with a returned value of'on'
or'off'
. This option applies only for HJM, BDT, HW and BK pricing.BarrierMethod
— Method for pricing Barrier option. The returned values are either'unenhanced'
that uses no correction calculation or'interp'
that uses an enhanced valuation interpolating between nodes on barrier boundaries.
Data Types: char
Output Arguments
Value
— Value
character vector
Value, returned as a character vector depending on the specified
ParameterName
.
Version History
Introduced before R2006a
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