www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CalculatePriceandSensitivitiesforaBarrierDownandOutCallOExample.m
%% Calculate Price and Sensitivities for a Barrier Down and Out Call Option Using Finite Difference Method %% % Create a |RateSpec|. AssetPrice = 50; Strike = 45; Rate = 0.035; Volatility = 0.30; Settle = '01-Jan-2015'; Maturity = '01-Jan-2016'; Basis = 1; RateSpec = intenvset('ValuationDate',Settle,'StartDates',Settle,'EndDates',... Maturity,'Rates',Rate,'Compounding',-1,'Basis',Basis) %% % Create a |StockSpec|. StockSpec = stockspec(Volatility,AssetPrice) %% % Calculate the |Price|, |Delta|, and |Theta| of a European Down and Out call option % using the finite difference method. Barrier = 40; BarrierSpec = 'DO'; OptSpec = 'Call'; OutSpec = {'price';'delta';'theta'}; [Price, Delta, Theta] = barriersensbyfd(RateSpec,StockSpec,OptSpec,Strike,Settle,... Maturity, BarrierSpec,Barrier,'Outspec',OutSpec)