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Price Equity, FX, Commodity, or Energy Instruments

Create equity, FX, commodity, or energy instrument object, associate the object with a model, and specify pricing method

An equity derivative is a contract whose value is at least partly derived from one or more underlying equity, foreign exchange (FX), commodity, or energy securities. This toolbox provides functionality to price, compute sensitivity and hedging analysis to many equity securities. You can price vanilla, Asian, lookback, barrier, and spread options with pricing models that include lattice models, Monte Carlo simulations, multiple closed-form solutions, and finite differences methods.

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Create an equity, FX, or commodity instrument object using fininstrument, then associate a model using finmodel, and then specify a pricing method using finpricer.

Functions

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fininstrumentCreate specified instrument object type (Since R2020a)
finmodelCreate specified model object type (Since R2020a)
finpricerCreate pricing method (Since R2020a)
setExercisePolicySet exercise policy for FixedBondOption, FloatBondOption, or Vanilla instrument (Since R2020b)
fairdeliveryCompute fair delivery price of underlying asset for BondFuture, CommodityFuture, EquityIndexFuture, or FXFuture instrument (Since R2022a)
cashsettleCompute cash settlement for BondFuture, CommodityFuture, EquityIndexFuture, or FXFuture instrument (Since R2022a)
priceCompute price for interest-rate, equity, or credit derivative instrument with Analytic pricer (Since R2020a)
priceCompute price for equity instrument with FiniteDifference pricer (Since R2020a)
priceCompute price for equity instrument with FFT pricer (Since R2020a)
priceCompute price for equity instrument with NumericalIntegration pricer (Since R2020a)
priceCompute price for equity instrument with VannaVolga pricer (Since R2020b)
priceCompute price for equity instrument with AssetMonteCarlo pricer (Since R2020b)
priceCompute price for equity instrument with RoughVolMonteCarlo pricer (Since R2024a)
priceCompute price for equity instrument with ReplicatingVarianceSwap pricer (Since R2020b)
priceCompute price for equity instrument with AssetTree pricer (Since R2021a)
priceCompute price for interest-rate instrument with Future pricer (Since R2022a)
priceCompute price for CurrencySwap instrument with FXDiscount pricer (Since R2024a)

Live Editor Tasks

Calibrate Pricing Model Calibrate option pricing model in the Live Editor (Since R2022a)

Objects

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VanillaVanilla instrument object (Since R2020a)
LookbackLookback instrument (Since R2020a)
PartialLookbackPartialLookback instrument (Since R2021b)
BarrierBarrier instrument object (Since R2020a)
DoubleBarrierDoubleBarrier instrument object (Since R2020b)
AsianAsian instrument object (Since R2020a)
SpreadSpread instrument object (Since R2020a)
VarianceSwapVarianceSwap instrument object (Since R2020b)
CurrencySwapCurrencySwap instrument object (Since R2024a)
CliquetCliquet instrument object (Since R2021b)
BinaryBinary instrument object (Since R2020b)
TouchTouch instrument object (Since R2020b)
DoubleTouchDoubleTouch instrument object (Since R2020b)
ConvertibleBondConvertibleBond instrument object (Since R2021a)
CommodityFutureCommodityFuture instrument object (Since R2022a)
FXFutureFXFuture instrument object (Since R2022a)
EquityIndexFutureEquityIndexFuture instrument object (Since R2022a)
BlackScholesCreate BlackScholes model object for an Asian, Barrier, DoubleBarrier, Lookback, PartialLookback, Spread, Vanilla, Touch, DoubleTouch, Cliquet, or Binary instrument (Since R2020a)
BachelierCreate Bachelier model object for Vanilla, Spread, or Binary instrument (Since R2021a)
HestonCreate Heston model object for Vanilla, Asian, Barrier, DoubleBarrier, Lookback, PartialLookback, VarianceSwap, Touch, DoubleTouch, Cliquet, or Binary instrument (Since R2020a)
BatesCreate Bates model object for Vanilla, Asian, Barrier, DoubleBarrier, Lookback, PartialLookback, Touch, DoubleTouch, Cliquet, or Binary instrument (Since R2020a)
DupireCreate Dupire model object for local volatility for Vanilla instrument (Since R2020a)
MertonCreate Merton model object for Vanilla, Asian, Barrier, DoubleBarrier, Lookback, PartialLookback, OneTouch, DoubleTouch, Cliquet, or Binary instrument (Since R2020a)
RoughBergomiCreate RoughBergomi model object for Vanilla, Asian, Cliquet, or Binary instrument (Since R2024a)
RoughHestonCreate RoughHeston model object for Vanilla, Asian, Cliquet, or Binary instrument (Since R2024b)

AssetTree Pricer for Vanilla, Barrier, Asian, or Lookback Instruments

AssetTreeCreate AssetTree pricer object for Vanilla, Barrier, Asian, or Lookback instrument (Since R2021a)

Monte Carlo, Finite Difference, Numerical Integration, FFT, Replicating Variance Swap Pricers for Vanilla, Barrier, Cliquet, or VarianceSwap Instruments

AssetMonteCarloCreate AssetMonteCarlo pricer object for equity instruments using BlackScholes, Merton, Heston, or Bates model (Since R2020b)
FiniteDifferenceCreate FiniteDifference pricer object for Barrier, DoubleBarrier, or Vanilla instrument using a BlackScholes, Heston, Merton, or Bates model (Since R2020a)
NumericalIntegrationCreate NumericalIntegration pricer object for Vanilla instrument using Heston, Bates, or Merton model (Since R2020a)
FFTCreate FFT pricer object for Vanilla instrument using Merton, Heston, or Bates model (Since R2020a)
VannaVolgaCreate VannaVolga pricer object for Vanilla, Barrier, DoubleBarrier, Touch, or DoubleTouch instrument using BlackScholes model (Since R2020b)
ReplicatingVarianceSwapCreate ReplicatingVarianceSwap pricer object for VarianceSwap instrument using ratecurve object (Since R2020b)

RoughVolMonteCarlo Pricer for Vanilla, Asian, Binary, or Cliquet Instruments

RoughVolMonteCarloCreate RolVolMonteCarlo pricer object for equity instruments using RoughBergoni or RoughHeston model (Since R2024a)

Closed-Form Pricers for Asian, Lookback, Spread, Cliquet, and Vanilla Instruments

BjerksundStenslandCreate BjerksundStensland pricer object for Vanilla or Spread instrument using BlackScholes model (Since R2020a)
BlackScholesCreate BlackScholes pricer object for Vanilla, Barrier, Touch, DoubleTouch, or Binary instrument using BlackScholes model (Since R2020a)
ConzeViswanathanCreate ConzeViswanathan pricer object for Lookback instrument using BlackScholes model (Since R2020a)
GoldmanSosinGattoCreate GoldmanSosinGatto pricer object for Lookback instrument using BlackScholes model (Since R2020a)
HestonCreate Heston pricer object for VarianceSwap instrument using Heston model (Since R2020b)
HeynenKatCreate HeynenKat pricer object for PartialLookback instrument using BlackScholes model (Since R2021b)
IkedaKunitomoCreate IkedaKunitomo pricer object for DoubleBarrier instrument using BlackScholes model (Since R2020b)
KemnaVorstCreate KemnaVorst pricer object for Asian instrument using BlackScholes model (Since R2020a)
KirkCreate Kirk pricer object for Spread instrument using BlackScholes model (Since R2020a)
LevyCreate Levy pricer object for Asian instrument using BlackScholes model (Since R2020a)
RollGeskeWhaleyCreate RollGeskeWhaley pricer object for American exercise Vanilla instrument using BlackScholes model (Since R2020a)
RubinsteinCreate Rubinstein pricer object for Cliquet instrument using BlackScholes model (Since R2021b)
TurnbullWakemanCreate TurnbullWakeman pricer object for Asian instrument using BlackScholes model (Since R2020a)

Future Pricer for CommodityFuture, EquityIndexFuture, or FXFuture Instruments

FutureCreate Future pricer object for BondFuture, CommodityFuture, EquityIndexFuture, and FXFuture using ratecurve object (Since R2022a)

FXDiscount Pricer for CurrencySwap Instruments

FXDiscountCreate FXDiscount pricer object for CurrencySwap object (Since R2024a)

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