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derivset

Set or modify derivatives pricing options

Syntax

Options = derivset(Options, 'Parameter1', Value1,
... 'Parameter4', Value4)
Options = derivset(OldOptions, NewOptions)
Options = derivset
derivset

Arguments

Options

(Optional) Existing options specification structure, probably created from a previous call to derivset.

Parametern

The parameter must be 'Diagnostics', 'Warnings', 'ConstRate', or 'BarrierMethod'. Parameters can be entered in any order.

Valuen

(BDT, BK, HJM, or HW pricing only) The parameter values for the following three options can be 'on' or 'off':

  • 'Diagnostics' 'on' generates diagnostic information. The default is 'Diagnostics' 'off'.

  • 'Warnings' 'on' (default) displays a warning message when executing a pricing function.

  • 'ConstRate' 'on' (default) assumes a constant rate between tree nodes.

For pricing barrier options, the 'BarrierMethod' pricing option can be 'unenhanced' (default) or 'interp'. Specifying 'unenhanced' uses no correction calculation. Specifying 'interp' uses an enhanced valuation interpolating between nodes on barrier boundaries.

OldOptions

Existing options specification structure.

NewOptions

New options specification structure.

Description

Options = derivset(Options, 'Parameter1', Value1,
... 'Parameter4', Value4)
creates a derivatives pricing options structure Options in which the named parameters have the specified values. Any unspecified value is set to the default value for that parameter when Options is passed to the pricing function. It is sufficient to type only the leading characters that uniquely identify the parameter name. Case is also ignored for parameter names.

If the optional input argument Options is specified, derivset modifies an existing pricing options structure by changing the named parameters to the specified values.

    Note   For parameter values, correct case and the complete string are required; if an invalid string is provided, the default is used.

Options = derivset(OldOptions, NewOptions) combines an existing options structure OldOptions with a new options structure NewOptions. Any parameters in NewOptions with nonempty values overwrite the corresponding old parameters in OldOptions.

Options = derivset creates an options structure Options whose fields are set to the default values.

derivset with no input or output arguments displays all parameter names and information about their possible values.

Examples

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

enables the display of additional diagnostic information that appears when executing pricing functions.

Options = derivset(Options, 'ConstRate', 'off')

changes the ConstRate parameter in the existing Options structure so that the assumption of constant rates between tree nodes no longer applies.

With no input or output arguments derivset displays all parameter names and information about their possible values.

derivset          
            Diagnostics: [ on   | {off} ]
               Warnings: [ {on} | off   ]
              ConstRate: [ {on} | off   ]
          BarrierMethod: [ {unenhanced} | interp   ]

See Also

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