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Compute price for equity instrument with VannaVolga pricer

Since R2020b



[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.



Input Arguments

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

Data Types: 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

(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.

inpInstrumentSupported Sensitivities
Vanilla, 'delta','gamma','vega','rho','lambda','theta','price'

Data Types: string | cell

Output Arguments

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Instrument price, returned as a numeric.

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