www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CalculatethePriceandSensitivitiesforaVanillaCallOptionUsExample.m

    %% Calculate the Price and Sensitivities for a Vanilla 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 and sensitivities for of a European vanilla call option
% using the finite difference method. 
ExerciseDates = 'may-1-2015';
OptSpec = 'Call';
OutSpec = {'price'; 'delta'; 'theta'};
[PriceSens, Delta, Theta] = optstocksensbyfd(RateSpec,StockSpec,OptSpec,Strike,Settle,...
ExerciseDates,'OutSpec',OutSpec)