MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manual de usuario Pagina 18

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R2013b
4-2
Support for Numerix CrossAsset Integration Layer (CAIL) API
Support for accessing Numerix instruments and risk models.
Class Purpose
numerix Create a numerix object to set up the Numerix CrossAsset
Integration Layer (CAIL) environment.
Method Purpose
numerix.parseResults
Converts Numerix CAIL data to MATLAB
®
data types.
Kirk's approximation and Bjerksund-Stensland closed-form pricing
models for spread options
Support pricing and sensitivity of spread options for the energy market using closed-form
solutions.
Function Purpose
spreadbykirk Price European spread options using the Kirk pricing model.
spreadsensbykirk Calculate European spread option prices and sensitivities
using the Kirk pricing model.
spreadbybjs Price European spread options using the Bjerksund-Stensland
pricing model.
spreadsensbybjs Calculate European spread option prices and sensitivities
using the Bjerksund-Stensland pricing model.
Finite difference and Monte Carlo simulation pricing for American spread
options
Support pricing and sensitivity of spread options for the energy market using Monte
Carlo simulation.
Function Purpose
spreadbyfd Price European or American spread options using the
Alternate Direction Implicit (ADI) finite difference method.
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