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)