| Financial Derivatives Toolbox™ | |
Instrument prices and sensitivities from EQP binomial tree
[Delta, Gamma, Vega, Price] = eqpsens(EQPTree,
InstSet,
Options)
EQPTree | Interest-rate tree structure created by eqptree. |
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. |
[Delta, Gamma, Vega, Price] = eqpsens(EQPTree, InstSet,Options) computes dollar sensitivities and prices for instruments using a binomial tree created with eqptree. NINST instruments from a financial instrument variable, InstSet, are priced. eqpsens 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 eqptree. See eqptree 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 eqptree.
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 eqptree.
Note All sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price. |
Load the EQP tree and instruments from the data file deriv.mat. Compute the Delta and Gamma sensitivities of the put options contained in the instrument set.
load deriv.mat; EQPSubSet = instselect(EQPInstSet, 'FieldName', 'OptSpec', ... 'Data', 'put') instdisp(EQPSubSet) Index Type OptSpec Strike Settle ExerciseDates AmericanOpt Name... 1 OptStock put 105 01-Jan-2003 01-Jan-2006 0 Put 105... Index Type OptSpec Strike Settle ExerciseDates AmericanOpt AvgType... 2 Asian put 110 01-Jan-2003 01-Jan-2006 0 arithmetic... 3 Asian put 110 01-Jan-2003 01-Jan-2007 0 arithmetic... [Delta, Gamma] = eqpsens(EQPTree, EQPSubSet) Delta = -0.2336 -0.5443 -0.4516 Gamma = 0.0218 0.0000 0.0000 |
| eqpprice | eqptimespec | |
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