Financial Derivatives Toolbox™

crrsens - Instrument prices and sensitivities from CRR tree

Syntax

[Delta, Gamma, Vega, Price] = crrsens(BDTTree, InstSet, Options)

Arguments

`CRRTree`	Interest-rate tree structure created by `crrtree`.
`InstSet`	Variable containing a collection of `NINST` instruments. Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or string for each instrument.
`Options`	(Optional) Derivatives pricing options structure created with `derivset`.

Description

[Delta, Gamma, Vega, Price] = crrsens(BDTTree, InstSet, Options) computes dollar sensitivities and prices for instruments using a binomial tree created with crrtree. NINST instruments from a financial instrument variable, InstSet, are priced. crrsens handles instrument types: 'Asian', 'Barrier', 'Compound', 'Lookback', 'OptStock'. See instadd for information on instrument types.

Delta is an NINST-by-1 vector of deltas, representing the rate of change of instrument prices with respect to changes in the stock price. Delta is computed by finite differences in calls to crrtree. See crrtree for information on the stock tree.

Gamma is an NINST-by-1 vector of gammas, representing the rate of change of instrument deltas with respect to the changes in the stock price. Gamma is computed by finite differences in calls to crrtree.

Vega is an NINST-by-1 vector of vegas, representing the rate of change of instrument prices with respect to the changes in the volatility of the stock. Vega is computed by finite differences in calls to crrtree.

Note All sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Examples

Load the CRR tree and instruments from the data file deriv.mat. Compute the Delta and Gamma sensitivities of the barrier and lookback options contained in the instrument set.

load deriv.mat; 
CRRSubSet = instselect(CRRInstSet,'Type', ... 
{'Barrier', 'Lookback'}); 

instdisp(CRRSubSet)

Index Type OptSpec Strike Settle  ExerciseDates AmericanOpt BarrierSpec ... 
1     Barrier call 105   01-Jan-2003 01-Jan-2006 1           ui ... 
 
Index Type   OptSpec Strike Settle     ExerciseDates AmericanOpt Name Quantity
2     Lookback call    115   01-Jan-2003 01-Jan-2006   0           Lookback1 7 
3     Lookback call    115   01-Jan-2003 01-Jan-2007   0           Lookback2 9 
      
[Delta, Gamma] = crrsens(CRRTree, CRRSubSet)

Delta = 

 0.6885
 0.6049
 0.8187

Gamma = 

 0.0310
-0.0000
 0.0000

crrsens - Instrument prices and sensitivities from CRR tree

Syntax

Arguments

Description

Examples

See Also