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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Create Instrument, Model, Pricer

`fininstrument`	Create specified instrument object type (Since R2020a)
`finmodel`	Create specified model object type (Since R2020a)
`finpricer`	Create pricing method (Since R2020a)

Exercise Policy for `Vanilla` Instrument

setExercisePolicy Set exercise policy for FixedBondOption, FloatBondOption, or Vanilla instrument (Since R2020b)

Cash Management for `CommodityFuture`, `EquityIndexFuture`, or `FXFuture` Instruments

`fairdelivery`	Compute fair delivery price of underlying asset for `BondFuture`, `CommodityFuture`, `EquityIndexFuture`, or `FXFuture` instrument (Since R2022a)
`cashsettle`	Compute cash settlement for `BondFuture`, `CommodityFuture`, `EquityIndexFuture`, or `FXFuture` instrument (Since R2022a)

Price Functions for Equity, FX, Commodity, or Energy Instruments

`price`	Compute price for interest-rate, equity, or credit derivative instrument with `Analytic` pricer (Since R2020a)
`price`	Compute price for equity instrument with `FiniteDifference` pricer (Since R2020a)
`price`	Compute price for equity instrument with `FFT` pricer (Since R2020a)
`price`	Compute price for equity instrument with `NumericalIntegration` pricer (Since R2020a)
`price`	Compute price for equity instrument with `VannaVolga` pricer (Since R2020b)
`price`	Compute price for equity instrument with `AssetMonteCarlo` pricer (Since R2020b)
`price`	Compute price for equity instrument with `RoughVolMonteCarlo` pricer (Since R2024a)
`price`	Compute price for equity instrument with `ReplicatingVarianceSwap` pricer (Since R2020b)
`price`	Compute price for equity instrument with `AssetTree` pricer (Since R2021a)
`price`	Compute price for interest-rate instrument with `Future` pricer (Since R2022a)
`price`	Compute 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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Equity, FX, Commodity, or Energy Instruments

`Vanilla`	`Vanilla` instrument object (Since R2020a)
`Lookback`	`Lookback` instrument (Since R2020a)
`PartialLookback`	`PartialLookback` instrument (Since R2021b)
`Barrier`	`Barrier` instrument object (Since R2020a)
`DoubleBarrier`	`DoubleBarrier` instrument object (Since R2020b)
`Asian`	`Asian` instrument object (Since R2020a)
`Spread`	`Spread` instrument object (Since R2020a)
`VarianceSwap`	`VarianceSwap` instrument object (Since R2020b)
`CurrencySwap`	`CurrencySwap` instrument object (Since R2024a)
`Cliquet`	`Cliquet` instrument object (Since R2021b)
`Binary`	`Binary` instrument object (Since R2020b)
`Touch`	`Touch` instrument object (Since R2020b)
`DoubleTouch`	`DoubleTouch` instrument object (Since R2020b)
`ConvertibleBond`	`ConvertibleBond` instrument object (Since R2021a)
`CommodityFuture`	`CommodityFuture` instrument object (Since R2022a)
`FXFuture`	`FXFuture` instrument object (Since R2022a)
`EquityIndexFuture`	`EquityIndexFuture` instrument object (Since R2022a)

Models for Equity, FX, and Commodity Instruments

`BlackScholes`	Create `BlackScholes` model object for an `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `PartialLookback`, `Spread`, `Vanilla`, `Touch`, `DoubleTouch`, `Cliquet`, or `Binary` instrument (Since R2020a)
`Bachelier`	Create `Bachelier` model object for `Vanilla`, `Spread`, or `Binary` instrument (Since R2021a)
`Heston`	Create `Heston` model object for `Vanilla`, `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `PartialLookback`, `VarianceSwap`, `Touch`, `DoubleTouch`, `Cliquet`, or `Binary` instrument (Since R2020a)
`Bates`	Create `Bates` model object for `Vanilla`, `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `PartialLookback`, `Touch`, `DoubleTouch`, `Cliquet`, or `Binary` instrument (Since R2020a)
`Dupire`	Create `Dupire` model object for local volatility for `Vanilla` instrument (Since R2020a)
`Merton`	Create `Merton` model object for `Vanilla`, `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `PartialLookback`, `OneTouch`, `DoubleTouch`, `Cliquet`, or `Binary` instrument (Since R2020a)
`RoughBergomi`	Create `RoughBergomi` model object for `Vanilla`, `Asian`, `Cliquet`, or `Binary` instrument (Since R2024a)
`RoughHeston`	Create `RoughHeston` model object for `Vanilla`, `Asian`, `Cliquet`, or `Binary` instrument (Since R2024b)

Pricers for Equity, FX, Commodity, or Energy Instruments

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

AssetTree Create 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

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

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

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

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

`BjerksundStensland`	Create `BjerksundStensland` pricer object for `Vanilla` or `Spread` instrument using `BlackScholes` model (Since R2020a)
`BlackScholes`	Create `BlackScholes` pricer object for `Vanilla`, `Barrier`, `Touch`, `DoubleTouch`, or `Binary` instrument using `BlackScholes` model (Since R2020a)
`ConzeViswanathan`	Create `ConzeViswanathan` pricer object for `Lookback` instrument using `BlackScholes` model (Since R2020a)
`GoldmanSosinGatto`	Create `GoldmanSosinGatto` pricer object for `Lookback` instrument using `BlackScholes` model (Since R2020a)
`Heston`	Create `Heston` pricer object for `VarianceSwap` instrument using `Heston` model (Since R2020b)
`HeynenKat`	Create `HeynenKat` pricer object for `PartialLookback` instrument using `BlackScholes` model (Since R2021b)
`IkedaKunitomo`	Create `IkedaKunitomo` pricer object for `DoubleBarrier` instrument using `BlackScholes` model (Since R2020b)
`KemnaVorst`	Create `KemnaVorst` pricer object for `Asian` instrument using `BlackScholes` model (Since R2020a)
`Kirk`	Create `Kirk` pricer object for `Spread` instrument using `BlackScholes` model (Since R2020a)
`Levy`	Create `Levy` pricer object for `Asian` instrument using `BlackScholes` model (Since R2020a)
`RollGeskeWhaley`	Create `RollGeskeWhaley` pricer object for American exercise `Vanilla` instrument using `BlackScholes` model (Since R2020a)
`Rubinstein`	Create `Rubinstein` pricer object for `Cliquet` instrument using `BlackScholes` model (Since R2021b)
`TurnbullWakeman`	Create `TurnbullWakeman` pricer object for `Asian` instrument using `BlackScholes` model (Since R2020a)

`Future` Pricer for `CommodityFuture`, `EquityIndexFuture`, or `FXFuture` Instruments

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

`FXDiscount` Pricer for `CurrencySwap` Instruments

FXDiscount Create FXDiscount pricer object for CurrencySwap object (Since R2024a)

Topics

Price Spread Instrument for a Commodity Using BlackScholes Model and Analytic Pricers
This example shows the workflow to price a commodity Spread instrument when you use a BlackScholes model and Kirk and BjerksundStensland analytic pricing methods.
Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers
This example shows how to compare European Vanilla instrument call option prices using a BlackScholes model and different pricing methods.
Use Black-Scholes Model to Price Asian Options with Several Equity Pricers
This example shows how to compare arithmetic and geometric Asian option prices using the BlackScholes model and various pricing methods.
Hedge Options Using Reinforcement Learning Toolbox
This example shows how to outperform the traditional BSM approach using an optimal option hedging policy.
Use Deep Learning to Approximate Barrier Option Prices with Heston Model
This example shows how to use Deep Learning Toolbox™ to train a network and obtain predictions on barrier option prices with a Heston model.
Calibrate Option Pricing Model Using Heston Model
This example shows how to use the Calibrate Pricing Model Live Editor task to calibrate a Heston pricing model to call option prices from the market.
Price Weather Derivatives
This example demonstrates a workflow for pricing weather derivatives based on historically observed temperature data.
Using Extreme Value Theory and Copula Fitting to Generate Synthetic Data
This example shows the workflow for generating synthetic equity index return data using Extreme Value Theory (EVT) and a copula model.
Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments
Use objects to model and price financial instruments.
Choose Instruments, Models, and Pricers
Select instruments, associated models, and associated pricers.
Supported Exercise Styles
The following table lists the interest-rate instrument objects with their associated models and pricers and supported Exercise styles.
Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers
Mapping functions to a workflow using objects for instruments, models, and pricers.

Related Information

Featured Examples

Price Vanilla Instrument Using Heston Model and Multiple Different Pricers

The workflow to price a Vanilla instrument when you use a Heston model and various pricing methods.

Open Live Script

Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers

Compare European Vanilla instrument call option prices using a BlackScholes model and different pricing methods. The pricing methods for this comparison are the Cox-Ross-Rubinstein, Leisen-Reimer, finite difference, and the Black-Scholes analytical formula.

Open Live Script

Use Black-Scholes Model to Price Asian Options with Several Equity Pricers

Compare arithmetic and geometric Asian option prices using the BlackScholes model and various pricing methods. The pricing methods are: the Kemna-Vorst, Levy, Turnbull-Wakeman, and Cox-Ross-Rubinstein methods and Monte Carlo simulation. This example also demonstrates how variations in spot prices affect option and delta sensitivity values on European vanilla and Asian options.

Open Live Script

Create and Price Portfolio of Instruments

Use finportfolio and pricePorfolio to create and price a portfolio of interest-rate and equity instruments. The portfolio contains a vanilla FixedBond, an OptionEmbeddedFixedBond, a Vanilla European call option, a Vanilla American call option, and an Asian call option.

Open Live Script

Price Spread Instrument for a Commodity Using BlackScholes Model and Analytic Pricers

The workflow to price a commodity Spread instrument when you use a BlackScholes model and Kirk and BjerksundStensland analytic pricing methods.

Open Live Script

Hedge Options Using Reinforcement Learning Toolbox

Outperform the traditional BSM approach using an optimal option hedging policy.

Use Deep Learning to Approximate Barrier Option Prices with Heston Model

Use Deep Learning Toolbox™ to train a network and obtain predictions on barrier option prices with a Heston model.

Open Live Script

Calibrate Option Pricing Model Using Heston Model

Use the Calibrate Pricing Model Live Editor task to calibrate a Heston pricing model to call option prices from the market. After calibration, use the Financial Instruments Toolbox™ object-based workflow to price an American option for a Barrier instrument using the calibrated parameter values for the Heston model with an AssetMonteCarlo pricing method.

Open Live Script

Price Weather Derivatives

Demonstrates a workflow for pricing weather derivatives based on historically observed temperature data.

Open Live Script

Volatility Modeling for Soft Commodities

Demonstrates a diverse set of statistical methods, machine learning techniques, and time-series models that you can apply broadly in the field of volatility modeling. Specifically, this example focuses on the analysis, modeling, and forecasting of volatility within the context of soft commodities.

Using Extreme Value Theory and Copula Fitting to Generate Synthetic Data

The workflow for generating synthetic equity index return data using Extreme Value Theory (EVT) and a copula model. The objective of this example is to overcome challenges that are often encountered in financial return series, such as heteroskedasticity and fat tails. EVT focuses on the tails (the far left or right ends) of distribution curves, where extreme values lie. These values occur with very low probability but have a significant impact when they do occur. By applying EVT, you can effectively model the tail behavior of the equity index returns, which is crucial in capturing extreme events. Additionally, you can use copula fitting to address the dependence structure among the individual components of the returns that accounts for their correlated behavior. Copula fitting involves selecting a copula model that best represents the observed dependence structure in the data and estimating its parameters.