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Price Interest-Rate Instruments

Create interest-rate instrument object, associate the object with a model, and specify pricing method

An interest-rate instrument is a derivative with a value that is linked to the movement of interest rates. This toolbox provides functionality to price, compute sensitivity, and perform hedging analysis for many interest-rate securities. You can price bonds, floating-rate notes, vanilla swaps, futures, bond options, amortizing bonds, CMS, caps, and floors with pricing models that include lattice models, Monte Carlo simulations, and multiple closed-form solutions.

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让年代tarted with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Create an interest-rate instrument with or without optionality.

  • To create an interest-rate instrument object without optionality, usefininstrument, associate aratecurveobject usingratecurve, and then specify a pricing method usingfinpricer.

  • To create an interest-rate instrument object with optionality, usefininstrument, associate aratecurveobject usingratecurveand a model object usingfinmodel, and then specify a pricing method usingfinpricer.

Functions

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fininstrument Create specified instrument object type
finmodel Create specified model object type
finpricer Create pricing method
setExercisePolicy Set exercise policy forFixedBondOption,FloatBondOption, orVanillainstrument
setPutExercisePolicy Set put exercise policy forOptionEmbeddedFixedBond,OptionEmbeddedFloatBond, orConvertibleBondinstrument
setCallExercisePolicy Set call exercise policy forOptionEmbeddedFixedBond,OptionEmbeddedFloatBond, orConvertibleBondinstrument
cashflows Compute cash flow forFixedBond,FloatBond,Swap,FRA,STIRFuture,OISFuture,OvernightIndexedSwap, orDepositinstrument
fairdelivery Compute fair delivery price of underlying asset forBondFuture,CommodityFuture,EquityIndexFuture, orFXFutureinstrument
cashsettle Compute cash settlement forBondFuture,CommodityFuture,EquityIndexFuture, orFXFutureinstrument
parswaprate Compute par swap rate forSwapinstrument
cmsCashflows Compute cash flows forCMSorCMSNoteinstrument
volatilities Compute implied volatilities when usingSABRpricer
oas Compute option adjusted spread forOptionEmbeddedFixedBondinstrument using interest-rate tree
price Compute price for interest-rate, equity, or credit derivative instrument withAnalyticpricer
price Compute price for interest-rate instrument withDiscountpricer
price Compute price for interest-rate instrument withIRTreepricer
price Compute price for interest-rate instrument withIRMonteCarlopricer
price Compute price for interest-rate instrument withFuturepricer

Objects

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ratecurve Createratecurveobject for interest-rate curve from dates and data
CMS CMSinstrument object
CMSNote CMSNoteinstrument object
Deposit Depositinstrument object
FixedBond FixedBondinstrument object
FixedBondOption FixedBondOptioninstrument object
FloatBond FloatBondinstrument object
FloatBondOption FloatBondOptioninstrument object
OptionEmbeddedFixedBond OptionEmbeddedFixedBondinstrument object
OptionEmbeddedFloatBond OptionEmbeddedFloatBondinstrument object
ConvertibleBond ConvertibleBondinstrument object
Cap Capinstrument object
Floor Floorinstrument object
Swap Swapinstrument object
Swaption Swaptioninstrument object
FRA FRAinstrument object
OvernightIndexedSwap OvernightIndexedSwapinstrument object
STIRFuture STIRFutureinstrument object
OISFuture OISFutureinstrument object
BondFuture BondFutureinstrument object
HullWhite CreateHullWhitemodel object forCap,Floor,Swaption,Swap,FixedBond,FloatBond,FloatBondOption,FixedBondOption,OptionEmbeddedFixedBond, orOptionEmbeddedFloatBondinstrument
CMSConvexityHull CreateCMSConvexityHullmodel object forCMSorCMSNoteinstrument
BlackKarasinski CreateBlackKarasinskimodel object for aCap,FloorSwaption,Swap,FloatBond,FixedBond,FixedBondOption,FloatBondOption,OptionEmbeddedFixedBond, orOptionEmbeddedFloatBondinstrument
BlackDermanToy CreateBlackDermanToymodel object for aCap,Floor,Swaption,Swap,FloatBond,FixedBond,FixedBondOption,FloatBondOption,OptionEmbeddedFixedBond, orOptionEmbeddedFloatBondinstrument
Black CreateBlackmodel object forCap,Floor, orSwaptioninstrument
Normal CreateNormalmodel object forCap,Floor, orSwaptioninstrument
SABR CreateSABRmodel object forSwaptioninstrument
SABRBraceGatarekMusiela CreateSABRBraceGatarekMusielamodel object forCap,Floor,FixedBond,FloatBond,FloatBondOption,FixedBondOption,OptionEmbeddedFixedBond, orOptionEmbeddedFloatBondinstrument
BraceGatarekMusiela CreateBraceGatarekMusielamodel object forCap,Floor,FixedBond,FloatBond,FloatBondOption,FixedBondOption,OptionEmbeddedFixedBond, orOptionEmbeddedFloatBondinstrument
LinearGaussian2F CreateLinearGaussian2Fmodel object forCap,Floor,Swaption,Swap,FixedBond,FloatBond,FloatBondOption,FixedBondOption,OptionEmbeddedFixedBond, orOptionEmbeddedFloatBondinstrument
Discount CreateDiscountpricer object forDeposit,FRA,Swap,FixedBond,FloatBond,OISFuture,STIRFuture, andOvernightIndexedSwapusingratecurveobject
CMSConvexityHull CreateCMSConvexityHullpricer object forCMSorCMSNoteinstrument usingCMSConvexityHullmodel
IRTree CreateIRTreepricer object forCap,Floor,Swap,Swaption,FloatBond,FixedBond,FixedBondOption,FloatBondOption,OptionEmbeddedFixedBond, orOptionEmbeddedFloatBondinstrument
IRMonteCarlo CreateIRMonteCarlopricer object for interest-rate instruments usingHullWhite,BraceGatarekMusiela,BlackKarasinski, orLinearGaussian2Fmodel
Normal CreateNormalpricer object forCap,Floor, orSwaptioninstrument usingNormalmodel
SABR CreateSABRpricer object forSwaptioninstrument usingSABRmodel
Black CreateBlackpricer object forCap,Floor, orSwaptioninstrument usingBlackmodel
HullWhite CreateHullWhitepricer object forCap,Floor, orSwaptioninstrument usingHullWhitemodel
Future CreateFuturepricer object forBondFuture,CommodityFuture,EquityIndexFuture, andFXFutureusingratecurveobject

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