www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceandSensitivitiesofaSpreadOptionUsingtheKiExample.m
%% Compute the Price and Sensitivities of a Spread Option Using the Kirk Model % Copyright 2015 The MathWorks, Inc. %% % Define the spread option dates. Settle = '01-Jun-2012'; Maturity = '01-Sep-2012'; %% % Define asset 1. % Price and volatility of RBOB gasoline Price1gallon = 2.85; % $/gallon Price1 = Price1gallon * 42; % $/barrel Vol1 = 0.29; %% % Define asset 2. % Price and volatility of WTI crude oil Price2 = 93.20; % $/barrel Vol2 = 0.36; %% % Define the correlation between the underlying asset prices of asset 1 % and asset 2. Corr = 0.42; %% % Define the spread option. OptSpec = 'call'; Strike = 20; %% % Define the |RateSpec|. rates = 0.05; Compounding = -1; Basis = 1; RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, ... 'EndDates', Maturity, 'Rates', rates, ... 'Compounding', Compounding, 'Basis', Basis) %% % Define the |StockSpec| for the two assets. StockSpec1 = stockspec(Vol1, Price1) StockSpec2 = stockspec(Vol2, Price2) %% % Compute the spread option price and sensitivities based on the Kirk model. OutSpec = {'Price', 'Delta', 'Gamma'}; [Price, Delta, Gamma] = spreadsensbykirk(RateSpec, StockSpec1, StockSpec2, Settle, ... Maturity, OptSpec, Strike, Corr, 'OutSpec', OutSpec)