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derivget

Get derivatives pricing options

Syntax

Value = derivget(Options, 'Parameter')

Arguments

Options

Existing options specification structure, probably created from previous call to derivset.

Parameter

Must be 'Diagnostics', 'Warnings', 'ConstRate', or 'BarrierMethod'. It is sufficient to type only the leading characters that uniquely identify the parameter. Case is ignored for parameter names.

Description

Value = derivget(Options, 'Parameter') extracts the value of the named parameter from the derivative options structure Options. Parameter values can be 'off' or 'on', except for 'BarrierMethod', which can be 'unenhanced' or 'interp'. Specifying 'unenhanced' uses no correction calculation. Specifying 'interp' uses an enhanced valuation interpolating between nodes on barrier boundaries.

Examples

Example 1. Create an Options structure with the value of Diagnostics set to 'on'.

Options = derivset('Diagnostics','on')

Use derivget to extract the value of Diagnostics from the Options structure.

Value = derivget(Options, 'Diagnostics')
Value =

on

Example 2. Use derivget to extract the value of ConstRate.

Value   = derivget(Options, 'ConstRate')
Value =

on

Because the value of 'ConstRate' was not previously set with derivset, the answer represents the default setting for 'ConstRate'.

Example 3. Find the value of 'BarrierMethod' in this structure.

derivget(Options ,'BarrierMethod')
ans =

unenhanced

See Also

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