MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Instrukcja Użytkownika Pobierz pdf (Strona 15)

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Implied Black volatility computation for the SABR stochastic volatility

model

Support for blackvolbysabr to calibrate the SABR model parameters and to compute

SABR implied Black volatilities.

User-specified simulation paths for Longstaff-Schwartz pricing functions

Support for optpricebysim to calculate the price and sensitivities of European or

American call or put options based on simulation results of the underlying asset. For

American options, the Longstaff-Schwartz least squares method is used to calculate the

early exercise premium.

creditexposures function to compute credit exposures from mark-to-

market OTC contract values

Support for computing credit exposures as a part of a counterparty credit risk workflow.

For more information, see creditexposures.

exposureprofiles function to derive credit exposure profiles from

credit exposures

Support for computing various credit exposure profiles, including potential future

exposure and expected exposure. For more information, see exposureprofiles.

Enhanced pricing functions for instruments and portfolios with cash flows

between tree levels

The pricing algorithms for vanilla stock options have been enhanced to support

ExerciseDates between tree levels. While ExerciseDates previously allowed only

values that coincided with tree dates, the new pricing algorithm allows arbitrary

ExerciseDates between the tree valuation date and tree maturity. For more

information see the Bermuda option examples in optstockbycrr, optstockbyeqp, and

optstockbyitt.

Swing option pricing example

New example for Pricing Swing Options using the Longstaff-Schwartz Method.

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