Spread
instrument object
Create and price a Spread
instrument object using this
workflow:
Use fininstrument
to create a Spread
instrument object.
Use finmodel
to specify
a BlackScholes
model for the Spread
instrument.
Use finpricer
to
specify a Kirk
,
BjerksundStensland
, or AssetMonteCarlo
pricing method for the
Spread
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 models and pricing methods for a
Spread
instrument, see Choose Instruments, Models, and Pricers.
creates a SpreadObj
= fininstrument(InstrumentType
,'Strike
',strike_value,'ExerciseDate
',exercise_date)Spread
object by specifying
InstrumentType
and sets the properties for the
required name-value pair arguments Strike
and
ExerciseDate
.
sets optional properties using
additional name-value pairs in addition to the required arguments in the
previous syntax. For example, SpreadObj
= fininstrument(___,Name,Value
)SpreadObj =
fininstrument("Spread",'Strike',100,'ExerciseDate',datetime(2019,1,30),'OptionType',"put",'ExerciseStyle',"American",'Name',"spread_instrument")
creates a Spread
put option with an American exercise.
You can specify multiple name-value pair arguments.