MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 10)

R2014b

2-2

Pricing functionality for forward options

Support is provided for pricing forward options using a modified Black approximation

model with optstockbyblk and optstocksensbyblk using a new name-value pair argument

for ForwardMaturity, which is the maturity date of the forward contract.

Amortizing caps and floors pricing using lattice models

Support is provided for name-value pair argument, Principal, to pass the schedule

to compute the price for amortizing caps (capbybdt, capbybk, capbyhjm, and capbyhw)

and floors (floorbybdt, floorbybk, floorbyhjm, and floorbyhw). In addition, instcap

and instfloor are enhanced to support the creation of cap and floor instruments with

amortizing caps and floors.

Power price simulation example

The example for simulating power price and mean reverting jump diffusion is available

as SimulateElectricityPricesExample.m at \fininst\fininstdemos. For more

information, see Simulating Electricity Prices with Mean-Reversion and Jump-Diffusion.

Hull-White single-factor model calibration using volatility surface

hwcalbycap and hwcalbyfloor support a new syntax.

[Alpha, Sigma, OptimOut] = hwcalbycap(RateSpec, MarketStike, MarketMaturity, MarketVolatility, Name, Value)

[Alpha, Sigma, OptimOut] = hwcalbyfloor(RateSpec, MarketStike, MarketMaturity, MarketVolatility, Name, Value)

The Strike, Settle, and Maturity input arguments are no longer required input

arguments. By omitting these input arguments, you can use the MarketStike,

MarketMaturity, and MarketVolatility input arguments calibrate the HW model

using the entire cap or floor surface.

SABR option greeks computation

Support is provided for Delta, Vega, ModifiedDelta, and ModifiedVega sensitivities

for the SABR stochastic model using optsensbysabr.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Strona 10