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eqpsens

Instrument prices and sensitivities from Equal Probabilities binomial tree

Syntax

[Delta, Gamma, Vega, Price] = eqpsens(EQPTree, InstSet,
Options)

Arguments

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.

Description

[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', and '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.

Examples

expand all

Compute Sensitivities for Instruments Using an eqptree

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)
EQPSubSet = 

        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {5x1 cell}
     FieldName: {5x1 cell}
    FieldClass: {5x1 cell}
     FieldData: {5x1 cell}

Index Type     OptSpec Strike Settle         ExerciseDates  AmericanOpt Name  Quantity
1     OptStock put     105    01-Jan-2003    01-Jan-2006    0           Put1   5      
 
Index Type  OptSpec Strike Settle         ExerciseDates  AmericanOpt AvgType    AvgPrice AvgDate Name   Quantity
2     Asian put     110    01-Jan-2003    01-Jan-2006    0           arithmetic NaN      NaN     Asian1 4       
3     Asian put     110    01-Jan-2003    01-Jan-2007    0           arithmetic NaN      NaN     Asian2 6       
 

Obtain the Delta and Gamma for the put options contained in the instrument set.

[Delta, Gamma] = eqpsens(EQPTree, EQPSubSet)
Delta =

   -0.2336
   -0.5443
   -0.4516


Gamma =

    0.0218
    0.0000
    0.0000

See Also

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