www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputeSensitivitiesforInstrumentsUsinganeqptreeExample.m
%% Compute Sensitivities for Instruments Using an |eqptree| %% % Load the EQP tree and instruments from the data file |deriv.mat|. Compute % the |Delta| and |Gamma| sensitivities of the put options contained in % the instrument set. % Copyright 2015 The MathWorks, Inc. load deriv.mat; EQPSubSet = instselect(EQPInstSet, 'FieldName', 'OptSpec', ... 'Data', 'put') instdisp(EQPSubSet) %% % Obtain the |Delta| and |Gamma| for the put options contained in the instrument % set. [Delta, Gamma] = eqpsens(EQPTree, EQPSubSet)