Price Equity, FX, or Commodity Instruments

Create equity, FX, or commodity instrument object, associate the object with a model, and specify pricing method

Create an equity, foreign exchange (FX), or commodity instrument object using fininstrument, then associate a model using finmodel, and then specify a pricing method using finpricer.

Functions

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Create Instrument, Model, Pricer

`fininstrument`	Create specified instrument object type
`finmodel`	Create specified model object type
`finpricer`	Create pricing method
`setExercisePolicy`	Set exercise policy for `FixedBondOption`, `FloatBondOption`, or `Vanilla` instrument
`price`	Compute price for interest-rate, equity, or credit derivative instrument with `Analytic` pricer
`price`	Compute price for equity instrument with `FiniteDifference` pricer
`price`	Compute price for equity instrument with `FFT` pricer
`price`	Compute price for equity instrument with `NumericalIntegration` pricer
`price`	Compute price for equity instrument with `VannaVolga` pricer
`price`	Compute price for equity instrument with `AssetMonteCarlo` pricer
`price`	Compute price for equity instrument with `ReplicatingVarianceSwap` pricer
`price`	Compute price for equity instrument with `AssetTree` pricer

Objects

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Equity, FX, and Commodity Instruments

`Vanilla`	`Vanilla` instrument object
`Lookback`	`Lookback` instrument
`Barrier`	`Barrier` instrument object
`DoubleBarrier`	`DoubleBarrier` instrument object
`Asian`	`Asian` instrument object
`Spread`	`Spread` instrument object
`VarianceSwap`	`VarianceSwap` instrument object
`Binary`	`Binary` instrument object
`Touch`	`Touch` instrument object
`DoubleTouch`	`DoubleTouch` instrument object
`ConvertibleBond`	`ConvertibleBond` instrument object

Models for Equity, FX, and Commodity Instruments

`BlackScholes`	Create `BlackScholes` model object for an `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `Spread`, `Vanilla`, `Touch`, `DoubleTouch`, or `Binary` instrument
`Bachelier`	Create `Bachelier` model object for `Vanilla`, `Spread`, or `Binary` instrument
`Heston`	Create `Heston` model object for `Vanilla`, `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `VarianceSwap`, `Touch`, `DoubleTouch`, or `Binary` instrument
`Bates`	Create `Bates` model object for `Vanilla`, `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `Touch`, `DoubleTouch`, or `Binary` instrument
`Dupire`	Create `Dupire` model object for local volatility for `Vanilla` instrument
`Merton`	Create `Merton` model object for `Vanilla`, `Asian`, `Barrier`, `DoubleBarrier`, `Lookback`, `OneTouch`, `DoubleTouch`, or `Binary` instrument

Pricers for Equity, FX, and Commodity Instruments

AssetTree Pricer for Vanilla, Barrier, Asian, or Lookback Instruments

AssetTree Create AssetTree pricer object for Vanilla, Barrier, Asian, or Lookback instrument

Monte Carlo, Finite Difference, Numerical Integration, FFT, Replicating Variance Swap Pricers for Vanilla, Barrier, or Variance Swap Instruments

`AssetMonteCarlo`	Create `AssetMonteCarlo` pricer object for equity instruments using `BlackScholes`, `Merton`, `Heston`, or `Bates` model
`FiniteDifference`	Create `FiniteDifference` pricer object for `Barrier`, `DoubleBarrier`, or `Vanilla` instrument using a `BlackScholes`, `Heston`, `Merton`, or `Bates` model
`NumericalIntegration`	Create `NumericalIntegration` pricer object for `Vanilla` instrument using `Heston`, `Bates`, or `Merton` model
`FFT`	Create `FFT` pricer object for `Vanilla` instrument using `Merton`, `Heston`, or `Bates` model
`VannaVolga`	Create `VannaVolga` pricer object for `Vanilla`, `Barrier`, `DoubleBarrier`, `Touch`, or `DoubleTouch` instrument using `BlackScholes` model
`ReplicatingVarianceSwap`	Create `ReplicatingVarianceSwap` pricer object for `VarianceSwap` instrument using `ratecurve` object

Closed-Form Pricers for Asian, Lookback, Spread, and Vanilla Instruments

`BjerksundStensland`	Create `BjerksundStensland` pricer object for `Vanilla` or `Spread` instrument using `BlackScholes` model
`BlackScholes`	Create `BlackScholes` pricer object for `Vanilla`, `Barrier`, `Touch`, `DoubleTouch`, or `Binary` instrument using `BlackScholes` model
`ConzeViswanathan`	Create `ConzeViswanathan` pricer object for `Lookback` instrument using `BlackScholes` model
`GoldmanSosinGatto`	Create `GoldmanSosinGatto` pricer object for `Lookback` instrument using `BlackScholes` model
`KemnaVorst`	Create `KemnaVorst` pricer object for `Asian` instrument using `BlackScholes` model
`IkedaKunitomo`	Create `IkedaKunitomo` pricer object for `DoubleBarrier` instrument using `BlackScholes` model
`Heston`	Create `Heston` pricer object for `VarianceSwap` instrument using `Heston` model
`Kirk`	Create `Kirk` pricer object for `Spread` instrument using `BlackScholes` model
`Levy`	Create `Levy` pricer object for `Asian` instrument using `BlackScholes` model
`RollGeskeWhaley`	Create `RollGeskeWhaley` pricer object for American exercise `Vanilla` instrument using `BlackScholes` model
`TurnbullWakeman`	Create `TurnbullWakeman` pricer object for `Asian` instrument using `BlackScholes` model

Examples and How To

Price Spread Instrument for a Commodity Using Black-Scholes Model and Analytic Pricers

This example shows the workflow to price a commodity Spread instrument when you use a BlackScholes model and Kirk and BjerksundStensland analytic pricing methods.

Price European Vanilla Call Options Using Black-Scholes Model and Different Equity Pricers

This example shows how to compare European Vanilla instrument call option prices using a BlackScholes model and different pricing methods.

Use Black-Scholes Model to Price Asian Options with Several Equity Pricers

This example shows how to compare arithmetic and geometric Asian option prices using the BlackScholes model and various pricing methods.