price

Compute price for equity instrument with VannaVolga pricer

Since R2020b

Syntax

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

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

Description

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

[Price,PriceResult] = price(___,inpSensitivity) adds an optional argument to specify sensitivities.

Examples

TBD

Input Arguments

inpPricer — Pricer object

VannaVolga object

Pricer object, specified as a scalar VannaVolga pricer object. Use finpricer to create the VannaVolga pricer object.

Data Types: object

inpInstrument — Instrument object

Vanilla object | Barrier object | DoubleBarrier object | Touch object

Instrument object, specified as a scalar or vector of Vanilla, Barrier, DoubleBarrier, Touch, or DoubleTouch instrument objects. Use fininstrument to create the Vanilla, Barrier, DoubleBarrier, Touch, or DoubleTouchinstrument objects.

Data Types: object

inpSensitivity — List of sensitivities to compute

[ ] (default) | string array with values "Price", "Delta", "Gamma", "Vega", "Rho", "Theta", 'Lambda', and "All" | cell array of character vectors with values 'Price', 'Delta', 'Gamma', 'Lambda', 'Vega', 'Rho', 'Theta', and 'All'

(Optional) List of sensitivities to compute, specified as a NOUT-by-1 or a 1-by-NOUT cell array of character vectors or string array with supported values.

inpSensitivity = {'All'} or inpSensitivity = ["All"] specifies that the output is 'Delta', 'Gamma', 'Vega', 'Lambda', 'Rho', 'Theta', and 'Price'. This is the same as specifying inpSensitivity to include each sensitivity.

Example: inpSensitivity = {'delta','gamma','vega','rho','lambda','theta','price'}

The sensitivities supported depend on the inpInstrument.

inpInstrument	Supported Sensitivities
Vanilla,	'delta','gamma','vega','rho','lambda','theta','price'
Barrier	'delta','gamma','vega','rho','lambda','theta','price'
DoubleBarrier	'delta','gamma','vega','rho','lambda','theta','price'
Touch	'delta','gamma','vega','rho','lambda','theta','price'
DoubleTouch	'delta','gamma','vega','rho','lambda','theta','price'

Data Types: string | cell

Output Arguments

Price — Instrument price

numeric

Instrument price, returned as a numeric.

PriceResult — Price result

PriceResult object

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

• PriceResult.PricerData.Overhedge — TBD

Version History

Introduced in R2020b