Documentation |
Instrument prices and sensitivities from Black-Derman-Toy interest-rate tree
[Delta, Gamma, Vega, Price] = bdtsens(BDTTree,
InstSet,
Options)
BDTTree | Interest-rate tree structure created by bdttree. |
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] = bdtsens(BDTTree,
InstSet,
Options) computes instrument sensitivities
and prices for instruments using an interest-rate tree created with
the bdttree function. NINST instruments
from a financial instrument variable, InstSet,
are priced. bdtsens handles instrument types: 'Bond', 'CashFlow', 'OptBond', 'OptEmBond', 'OptEmBond', 'OptFloat', 'OptEmFloat', 'Fixed', 'Float', 'Cap', 'Floor', 'RangeFloat', 'Swap'.
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 interest rate. Delta is computed by finite differences in calls to bdttree. See bdttree for information on the observed yield curve.
Gamma is an NINST-by-1 vector of gammas, representing the rate of change of instrument deltas with respect to the changes in the interest rate. Gamma is computed by finite differences in calls to bdttree.
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 $$\sigma \left(t,T\right)$$. Vega is computed by finite differences in calls to bdttree. See bdtvolspec for information on the volatility process.
Note All sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price. |
Price is an NINST-by-1 vector of prices of each instrument. The prices are computed by backward dynamic programming on the interest-rate tree. If an instrument cannot be priced, NaN is returned.
Delta and Gamma are calculated based on yield shifts of 100 basis points. Vega is calculated based on a 1% shift in the volatility process.
bdtprice | bdttree | bdtvolspec | instadd