www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CalculatePriceandSensitivitiesforaBarrierEuropeanDownOutExample.m
%% Calculate Price and Sensitivities for European Barrier Down Out and Down In Call Options %% % Compute price of European barrier down out and down in call options using the following data: Rates = 0.035; Settle = '01-Jan-2015'; Maturity = '01-April-2015'; Compounding = -1; Basis = 1; %% % Define a |RateSpec|. RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, 'EndDates', Maturity, ... 'Rates', Rates, 'Compounding', Compounding, 'Basis', Basis) %% % Define a |StockSpec|. AssetPrice = 19; Volatility = 0.40; DivType = 'Continuous'; DivAmount = 0.035; StockSpec = stockspec(Volatility, AssetPrice, DivType, DivAmount) %% % Calculate the |price|, |delta|, and |gamma| for European barrier down out and down % in call options using the Black-Scholes option pricing model. OptSpec = 'Call'; Strike = 20; Barrier = 18; BarrierSpec = {'DO';'DI'}; OutSpec = {'price', 'delta', 'gamma'}; [Price, Delta, Gamma] = barriersensbybls(RateSpec, StockSpec, OptSpec, Strike, Settle,... Maturity, BarrierSpec, Barrier,'OutSpec', OutSpec)