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Create specified model object type



Model = finmodel(ModelType,Name,Value) creates a Model object based on ModelType creates a model object specified by ModelType and specifies model options using one or more name-value pair arguments.

For more information on the workflow for creating an instrument object, a model object, and a pricer object, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available instruments, models, and pricing methods, see Choose Instruments, Models, and Pricers.


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Use finmodel to create a SABR model object.

SabrModel = finmodel("SABR",'Alpha',0.032,'Beta',0.04, 'Rho', .08, 'Nu', 0043,'Shift',0.002)
SabrModel = 
  SABR with properties:

             Alpha: 0.0320
              Beta: 0.0400
               Rho: 0.0800
                Nu: 43
             Shift: 0.0020
    VolatilityType: "black"

Input Arguments

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Model type, specified as a scalar string or character vector.

These options are available for interest-rate instruments:

These options are available for equity instruments:

  • "BlackScholes" — For more information, see BlackScholes.

  • "Bachelier" — For more information, see Bachelier.

  • "Heston" — For more information, see Heston.

  • "Bates" — For more information, see Bates.

  • "Merton" — For more information, see Merton.

  • "Dupire" — For more information, see Dupire.

These options are available for credit derivative instruments:

  • "CDSBlack" — For more information, see CDSBlack.

Data Types: string | char

Name-Value Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: Model = finmodel("Black",Name,Value)

The available name-value pair arguments depend on the value you specify for ModelType.

Name-Value Pair Arguments for Interest-Rate Models
Name-Value Pair Arguments for Equity Models
Name-Value Pair Arguments for Credit Derivative Models

Output Arguments

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Model, returned as a model object.

Introduced in R2020a