GoldmanSosinGatto

Create GoldmanSosinGatto pricer object for Lookback instrument using BlackScholes model

Description

Create and price a Lookback instrument object with a BlackScholes model and a GoldmanSosinGatto pricing method using this workflow:

1. Use fininstrument to create a Lookback instrument object.

2. Use finmodel to specify a BlackScholes model for the Lookback instrument object.

3. Use finpricer to specify a GoldmanSosinGatto pricer object for the Lookback instrument object.

For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available instruments, models, and pricing methods for a Lookback instrument, see Choose Instruments, Models, and Pricers.

Creation

Syntax

GoldmanSosinGattoPricerObj = finpricer(PricerType,'DiscountCurve,ratecurve_obj,'Model,model,'SpotPrice',spotprice_value)

GoldmanSosinGattoPricerObj = finpricer(___,Name,Value)

Description

GoldmanSosinGattoPricerObj = finpricer(PricerType,'DiscountCurve,ratecurve_obj,'Model,model,'SpotPrice',spotprice_value) creates a GoldmanSosinGatto pricer object by specifying PricerType and sets the properties for the required name-value pair arguments DiscountCurve, Model, and SpotPrice.

GoldmanSosinGattoPricerObj = finpricer(___,Name,Value) to set optional properties using additional name-value pairs in addition to the required arguments in the previous syntax. For example, GoldmanSosinGattoPricerObj = finpricer("Analytic",'DiscountCurve',ratecurve_obj,'Model',BSModel,'SpotPrice',1000,'DividendType',"continuous",'DividendValue',500,'PricingMethod',"GoldmanSosinGatto") creates a GoldmanSosinGatto pricer object.

Input Arguments

PricerType — Pricer type

string with value "Analytic" | character vector with value 'Analytic'

Pricer type, specified as a string with the value of "Analytic" or a character vector with the value of 'Analytic'.

Data Types: char | string

Name-Value Arguments

Specify required and optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: GoldmanSosinGattoPricerObj = finpricer("Analytic",'DiscountCurve',ratecurve_obj,'Model',BSModel,'SpotPrice',1000,'DividendType',"continuous",'DividendValue',500,'PricingMethod',"GoldmanSosinGatto")

Required GoldmanSosinGatto Name-Value Pair Arguments

DiscountCurve — ratecurve object for discounting cash flows

ratecurve object

ratecurve object for discounting cash flows, specified as the comma-separated pair consisting of 'DiscountCurve' and the name of the previously created ratecurve object.

Note

Specify a flat ratecurve object for DiscountCurve. If you use a nonflat ratecurve object, the software uses the rate in the ratecurve object at Maturity and assumes that the value is constant for the life of the equity option.

Data Types: object

Model — Model

BlackScholes model object

Model, specified as the comma-separated pair consisting of 'Model' and the name of a previously created BlackScholes model object using finmodel.

Data Types: object

SpotPrice — Current price of underlying asset

nonnegative numeric

Current price of the underlying asset, specified as the comma-separated pair consisting of 'SpotPrice' and a scalar nonnegative numeric.

Data Types: double

Optional GoldmanSosinGatto Name-Value Pair Arguments

DividendType — Stock dividend type

"continuous" (default) | string with value "cash" or "continuous" | character vector with value 'cash' or 'continuous'

Stock dividend type, specified as the comma-separated pair consisting of 'DividendType' and a character vector or string. DividendType must be "cash" for actual dollar dividends or "continuous" for a continuous dividend yield.

Data Types: char | string

DividendValue — Dividend amount or dividend schedule for underlying stock

0 (default) | scalar numeric | timetable

Dividend amount for underlying stock, specified as the comma-separated pair consisting of 'DividendValue' and a scalar numeric for a dividend amount or a timetable for a dividend schedule.

Note

Specify a scalar if DividendType is "continuous" and a timetable if DividendType is "cash".

Data Types: double | timetable

PricingMethod — Analytic pricing method

default pricer associated with BlackScholes model (default) | string with value "GoldmanSosinGatto" | character vector with value 'GoldmanSosinGatto'

Analytic pricing method, specified as the comma-separated pair consisting of 'PricingMethod' and a character vector or string.

Note

The default pricing method for a BlackScholes model is a BlackScholes pricer.

Data Types: double

Properties

DiscountCurve — ratecurve object for discounting cash flows

object

ratecurve object for discounting cash flows, returned as a ratecurve object.

Data Types: object

Model — Model

BlackScholes model object

Model, returned as a BlackScholes model object.

Data Types: object

SpotPrice — Current price of underlying asset

nonnegative numeric

Current price of the underlying asset, returned as a scalar nonnegative numeric.

Data Types: double

DividendType — Stock dividend type

"continuous" (default) | string with value "cash" or "continuous"

This property is read-only.

Stock dividend type, returned as a string. DividendType is either "cash" for actual dollar dividends or "continuous" for a continuous dividend yield.

Data Types: string

DividendValue — Dividend amount or dividend schedule for underlying stock

0 (default) | scalar nonnegative numeric | timetable

Dividend amount or dividend schedule for the underlying stock, returned as a scalar numeric for a dividend amount or a timetable for a dividend schedule.

Data Types: double | timetable

PricingMethod — Analytic pricing method

default pricer associated with BlackScholes model (default) | string with value "GoldmanSosinGatto"

Analytic pricing method, returned as a string.

Data Types: string

Object Functions

price

Compute price for interest-rate, equity, or credit derivative instrument with Analytic pricer

Examples

Use Goldman-Sosin-Gatto Pricer and Black-Scholes Model to Price Lookback Instrument

This example shows the workflow to price a floating-strike Lookback instrument when you use a BlackScholes model and a GoldmanSosinGatto pricing method.

Create Lookback Instrument Object

Use fininstrument to create a floating-strike Lookback instrument object where the Strike argument is specified as NaN.

LookbackOpt = fininstrument("lookback",'Strike',NaN,'ExerciseDate',datetime(2021,9,15),'OptionType',"put",'ExerciseStyle',"european",'Name',"lookback_option")

LookbackOpt = 
  Lookback with properties:

       OptionType: "put"
           Strike: NaN
      AssetMinMax: NaN
    ExerciseStyle: "european"
     ExerciseDate: 15-Sep-2021
             Name: "lookback_option"

Create BlackScholes Model Object

Use finmodel to create a BlackScholes model object.

BlackScholesModel = finmodel("BlackScholes",'Volatility',.358)

BlackScholesModel = 
  BlackScholes with properties:

     Volatility: 0.3580
    Correlation: 1

Create ratecurve Object

Create a flat ratecurve object using ratecurve.

Settle = datetime(2018,9,15);
Maturity = datetime(2023,9,15);
Rate = 0.035;
myRC = ratecurve('zero',Settle,Maturity,Rate,'Basis',12)

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 12
                Dates: 15-Sep-2023
                Rates: 0.0350
               Settle: 15-Sep-2018
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create GoldmanSosinGatto Pricer Object

Use finpricer to create a GoldmanSosinGatto pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("analytic",'Model',BlackScholesModel,'DiscountCurve',myRC,'SpotPrice',100,'DividendValue',0.025,'DividendType',"continuous",'PricingMethod',"GoldmanSosinGatto")

outPricer = 
  GoldmanSosinGatto with properties:

    DiscountCurve: [1x1 ratecurve]
            Model: [1x1 finmodel.BlackScholes]
        SpotPrice: 100
    DividendValue: 0.0250
     DividendType: "continuous"

Price Lookback Instrument

Use price to compute the price and sensitivities for the floating-strike Lookback instrument.

[Price, outPR] = price(outPricer,LookbackOpt,["all"])

Price = 53.3720

outPR = 
  priceresult with properties:

       Results: [1x7 table]
    PricerData: []

outPR.Results

ans=1×7 table
    Price      Delta        Gamma       Lambda     Vega      Theta       Rho  
    ______    _______    ___________    ______    ______    _______    _______

    53.372    0.53372    -1.4211e-06      1       181.36    -8.7793    -213.01

Version History

Introduced in R2020a