Instrument prices and sensitivities from Cox-Ross-Rubinstein tree
[Delta, Gamma, Vega, Price] = crrsens(CRRTree,
InstSet,
Options)
| Interest-rate tree structure created by |
| Variable containing a collection of |
| (Optional) Derivatives pricing options structure created
with |
[Delta, Gamma, Vega, Price] = crrsens(CRRTree,
InstSet,
computes dollar sensitivities
and prices for instruments using a binomial tree created with
Options)crrtree
. NINST
instruments
from a financial instrument variable, InstSet
,
are priced. crrsens
handles instrument types: 'Asian'
, 'Barrier'
, 'Compound'
, 'CBond'
, '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. |
cbondbycrr
| crrprice
| crrtree
| instcbond