Этот пример показывает рабочий процесс, чтобы создать и оценить портфель инструментов опции связи и связи. Можно использовать finportfolio
и pricePortfolio
оценивать FixedBond
, FixedBondOption
, OptionEmbeddedFixedBond
, и FloatBond
инструменты с помощью IRTree
метод ценообразования.
ratecurve
ОбъектСоздайте ratecurve
объект с помощью ratecurve
.
Settle = datetime(2018, 1, 1); ZeroTimes = calyears(1:4)'; ZeroRates = [0.035; 0.042147; 0.047345; 0.052707]; ZeroDates = Settle + ZeroTimes; Compounding = 1; ZeroCurve = ratecurve("zero",Settle,ZeroDates,ZeroRates, "Compounding",Compounding)
ZeroCurve = ratecurve with properties: Type: "zero" Compounding: 1 Basis: 0 Dates: [4x1 datetime] Rates: [4x1 double] Settle: 01-Jan-2018 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Используйте fininstrument
создать FixedBond
, FixedBondOption
, OptionEmbeddedFixedBond
, и FloatBond
инструментальные объекты.
CDates = datetime([2020,1,1 ; 2022,1,1]); CRates = [.0425; .0750]; CouponRate = timetable(CDates,CRates); Maturity = datetime(2022,1,1); Period = 1; % Vanilla FixedBond VBond = fininstrument("FixedBond",'Maturity',Maturity,'CouponRate',0.0425,'Period',Period,'Name',"vanilla_fixed")
VBond = FixedBond with properties: CouponRate: 0.0425 Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 Name: "vanilla_fixed"
% Stepped coupon bond SBond = fininstrument("FixedBond",'Maturity',Maturity,'CouponRate',CouponRate,'Period',Period,'Name',"stepped_coupon_bond")
SBond = FixedBond with properties: CouponRate: [2x1 timetable] Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 Name: "stepped_coupon_bond"
% FloatBond Spread = 0; Reset = 1; Float = fininstrument("FloatBond",'Maturity',Maturity,'Spread',Spread,'Reset', Reset,... 'ProjectionCurve',ZeroCurve,'Name',"floatbond")
Float = FloatBond with properties: Spread: 0 ProjectionCurve: [1x1 ratecurve] ResetOffset: 0 Reset: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" LatestFloatingRate: NaN Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 Name: "floatbond"
% Call option Strike = 100; ExerciseDates = datetime(2020,1,1); OptionType ='call'; Period = 1; CallOption = fininstrument("FixedBondOption",'Strike',Strike,'ExerciseDate',ExerciseDates,... 'OptionType',OptionType,'ExerciseStyle',"american",'Bond', VBond,'Name',"fixed_bond_option")
CallOption = FixedBondOption with properties: OptionType: "call" ExerciseStyle: "american" ExerciseDate: 01-Jan-2020 Strike: 100 Bond: [1x1 fininstrument.FixedBond] Name: "fixed_bond_option"
% Option for embedded bond (callable bond) CDates = datetime([2020,1,1 ; 2022,1,1]); CRates = [.0425; .0750]; CouponRate = timetable(CDates,CRates); StrikeOE = [100; 100]; ExerciseDatesOE = [datetime(2020,1,1); datetime(2021,1,1)]; CallSchedule = timetable(ExerciseDatesOE,StrikeOE,'VariableNames',{'Strike Schedule'}); CallableBond = fininstrument("OptionEmbeddedFixedBond", 'Maturity',Maturity,... 'CouponRate',CouponRate,'Period', Period, ... 'CallSchedule',CallSchedule,'Name',"option_embedded_fixedbond")
CallableBond = OptionEmbeddedFixedBond with properties: CouponRate: [2x1 timetable] Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 CallDates: [2x1 datetime] PutDates: [0x1 datetime] CallSchedule: [2x1 timetable] PutSchedule: [0x0 timetable] CallExerciseStyle: "american" PutExerciseStyle: [0x0 string] Name: "option_embedded_fixedbond"
HullWhite
МодельИспользуйте finmodel
создать HullWhite
объект модели.
VolCurve = 0.01; AlphaCurve = 0.1; HWModel = finmodel("hullwhite",'alpha',AlphaCurve,'sigma',VolCurve)
HWModel = HullWhite with properties: Alpha: 0.1000 Sigma: 0.0100
IRTree
Калькулятор цен для HullWhite
МодельИспользуйте finpricer
создать IRTree
объект калькулятора цен для HullWhite
модель и использование ratecurve
объект для 'DiscountCurve'
аргумент пары "имя-значение".
HWTreePricer = finpricer("IRTree",'Model',HWModel,'DiscountCurve',ZeroCurve,'TreeDates',ZeroDates)
HWTreePricer = HWBKTree with properties: Tree: [1x1 struct] TreeDates: [4x1 datetime] Model: [1x1 finmodel.HullWhite] DiscountCurve: [1x1 ratecurve]
finportfolio
Возразите и добавьте вызываемый инструмент связиСоздайте finportfolio
объект со связью ванили, продвинутой облигацией на предъявителя, пускает в ход связь и колл-опцион.
myportfolio = finportfolio([VBond,SBond,Float,CallOption],HWTreePricer, [1,2,2,1])
myportfolio = finportfolio with properties: Instruments: [4x1 fininstrument.FinInstrument] Pricers: [1x1 finpricer.irtree.HWBKTree] PricerIndex: [4x1 double] Quantity: [4x1 double]
Используйте addInstrument
добавить вызываемый инструмент связи в существующий портфель.
myportfolio = addInstrument(myportfolio,CallableBond,HWTreePricer,1)
myportfolio = finportfolio with properties: Instruments: [5x1 fininstrument.FinInstrument] Pricers: [1x1 finpricer.irtree.HWBKTree] PricerIndex: [5x1 double] Quantity: [5x1 double]
myportfolio.PricerIndex
ans = 5×1
1
1
1
1
1
PricerIndex
свойство имеет длину, равную длине инструментальных объектов в finportfolio
объект и хранилища, индекс которых калькулятор цен используется для каждого инструментального объекта. В этом случае, потому что существует только один калькулятор цен, каждый инструмент должен использовать тот калькулятор цен.
Используйте pricePortfolio
вычислить цену и чувствительность для портфеля и связи и инструментов опции в портфеле.
format bank
[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(myportfolio)
PortPrice = 600.55
InstPrice = 5×1
96.5943
204.1377
200.0000
0.0487
99.7738
PortSens=1×4 table
Price Vega Gamma Delta
______ ______ _______ ________
600.55 -63.40 5759.65 -1297.48
InstSens=5×4 table
Price Vega Gamma Delta
______ ______ _______ _______
vanilla_fixed 96.59 -0.00 1603.49 -344.81
stepped_coupon_bond 204.14 0.00 3364.60 -725.96
floatbond 200.00 -0.00 -0.00 0.00
fixed_bond_option 0.05 12.48 24.15 -3.69
option_embedded_fixedbond 99.77 -75.88 767.41 -223.03