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Mapping Financial Instruments Toolbox Functions for Equity, Commodity, FX Instrument Objects

The following table lists the Financial Instruments Toolbox™ functions for equity, FX, or commodity instruments mapped to the associated workflow using the object-based framework for instruments, models, and pricers.

Note

The function-based workflows and the object-based workflows should not be mixed; they are parallel tracks for instrument pricing. The function-based and object-based workflows can return different instrument prices even if you use the same data. The difference is because the existing Financial Instruments Toolbox functions internally use datetime and the object-based framework use yearfrac for date handling. For more information, see Difference Between yearfrac and date2time.

Financial Instruments Toolbox FunctionObject-Based Workflow
asianbycrrCreate the following objects:
  1. Asian instrument

  2. BlackScholes model

  3. ratecurve

  4. AssetTree pricer

Compute the price of the Asian instrument using price.
asianbyeqpCreate the following objects:
  1. Asian instrument

  2. BlackScholes model

  3. ratecurve

  4. AssetTree pricer

Compute the price of the Asian instrument using price.
asianbykv and asiansensbykvCreate the following objects:
  1. Asian instrument

  2. BlackScholes model

  3. ratecurve

  4. KemnaVorst pricer

Compute the price of the Asian instrument using price.
asianbylevy and asiansensbylevyCreate the following objects:
  1. Asian instrument

  2. BlackScholes model

  3. ratecurve

  4. Levy pricer

Compute the price of the Asian instrument using price.
asianbytw and asiansensbytwCreate the following objects:Compute the price of the Asian instrument using price.
asianbyls and asiansensbylsCreate the following objects:Compute the price of the Asian instrument using price.
asianbysttCreate the following objects:
  1. Asian instrument

  2. BlackScholes model

  3. ratecurve

  4. AssetTree pricer

Compute the price of the Asian instrument using price.
barrierbycrrCreate the following objects:Compute the price of the Barrier instrument using price.
barrierbyeqpCreate the following objects:Compute the price of the Barrier instrument using price.
barrierbybls and barriersensbyblsCreate the following objects:Compute the price of the Barrier instrument using price.
barrierbyfd and barriersensbyfdCreate the following objects:Compute the price of the Barrier instrument using price.
barrierbyls and barriersensbylsCreate the following objects:Compute the price of the Barrier instrument using price.
barrierbysttCreate the following objects:Compute the price of the Barrier instrument using price.
dblbarrierbybls and dblbarriersensbyblsCreate the following objects:Compute the price of the DoubleBarrier instrument using price.
dblbarrierbyfd and dblbarriersensbyfdCreate the following objects:Compute the price of the DoubleBarrier instrument using price.
touchbybls and touchsensbyblsCreate the following objects:Compute the price of the Touch instrument using price.
dbltouchbybls and dbltouchsensbyblsCreate the following objects:Compute the price of the DoubleTouch instrument using price.
cashbybls and cashsensbyblsCreate the following objects:
assetbybls and assetsensbyblsCreate the following objects:
lookbackbycrrCreate the following objects:Compute the price of the Lookback instrument using price.
lookbackbyeqpCreate the following objects:Compute the price of the Lookback instrument using price.
lookbackbycvgsg and lookbacksensbycvgsgCreate the following objects:Compute the price of the Lookback instrument using price.
lookbackbyls and lookbacksensbylsCreate the following objects:Compute the price of the Lookback instrument using price.
lookbackbysttCreate the following objects:Compute the price of the Lookback instrument using price.
spreadbykirk and spreadsensbykirkCreate the following objects:
  1. Spread instrument

  2. BlackScholes model

  3. ratecurve

  4. Kirk pricer

Compute the price of the Spread instrument using price.
spreadbybjs and spreadsensbybjsCreate the following objects:Compute the price of the Spread instrument using price.
spreadbyls and spreadsensbylsCreate the following objects:Compute the price of the Spread instrument using price.
optstockbycrrCreate the following objects:Compute the price of the Vanilla instrument using price
optstockbyeqpCreate the following objects:Compute the price of the Vanilla instrument using price
optstockbylr and optstocksensbylrCreate the following objects:Compute the price of the Vanilla instrument using price
optstockbybls and optstocksensbyblsCreate the following objects:Compute the price of the Vanilla instrument using price.
optstockbybjs and optstocksensbybjsCreate the following objects:Compute the price of the Vanilla instrument using price.
optstockbyrgw and optstocksensbyrgwCreate the following objects:Compute the price of the Vanilla instrument using price.
optstockbyfd and optstocksensbyfdCreate the following objects:Compute the price of the Vanilla instrument using price.
optstockbyls and optstocksensbylsCreate the following objects:Compute the price of the Vanilla instrument using price.
optstockbysttCreate the following objects:Compute the price of the Vanilla instrument using price.
optByHestonFFT and optSensByHestonFFTCreate the following objects:
  1. Vanilla instrument

  2. Heston model

  3. ratecurve

  4. FFT pricer

Compute the price of the Vanilla instrument using price.
optByHestonFD and optSensByHestonFDCreate the following objects:Compute the price of the Vanilla instrument using price.
optByHestonNI and optSensByHestonNICreate the following objects:Compute the price of the Vanilla instrument using price.
optByBatesFFT and optSensByBatesFFTCreate the following objects:
  1. Vanilla instrument

  2. Bates model

  3. ratecurve

  4. FFT pricer

Compute the price of the Vanilla instrument using price.
optByBatesFD and optSensByBatesFDCreate the following objects:Compute the price of the Vanilla instrument using price.
optByBatesNI and optSensByBatesNICreate the following objects:Compute the price of the Vanilla instrument using price.
optByMertonFFT and optSensByMertonFFTCreate the following objects:
  1. Vanilla instrument

  2. Merton model

  3. ratecurve

  4. FFT pricer

Compute the price of the Vanilla instrument using price.
optByMertonFD and optSensByMertonFDCreate the following objects:Compute the price of the Vanilla instrument using price.
optByMertonNI and optSensByMertonNICreate the following objects:Compute the price of the Vanilla instrument using price.
optByLocalVolFD and optSensByLocalVolFDCreate the following objects:Compute the price of the Vanilla instrument using price.

See Also

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