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Matlab Price Instrument

MathWorksOfficialCreated by MathWorks

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From the author

Price financial instruments in MATLAB using the Financial Instruments Toolbox. Route to the appropriate numerical method reference based on the user's request: Monte Carlo simulation (AssetMonteCarlo, IRMonteCarlo, RoughVolMonteCarlo), FFT / Numerical Integration (Vanilla European options), or Interest-Rate Trees (option-embedded bonds with IRTree). Use when the user asks to price financial instruments or compute Greeks using any of these methods. Use one of the following models depending on the pricing method and instrument: Black-Scholes, Bachelier, Heston, Bates, Merton, Hull-White, Black-Karasinski, Black-Derman-Toy, Cox-Ingersoll-Ross, Linear Gaussian 2 Factor (G2PP), Brace-Gatarek-Musiela (BGM), SABR-BGM, RoughBergomi, RoughHeston.
— the description by MathWorks

AutoGineer summary

Written by AutoGineer from the skill’s own files, not by the author

This skill provides a structured approach to pricing financial instruments and calculating sensitivities (Greeks) within MATLAB. It guides users through the Financial Instruments Toolbox, routing requests to the appropriate numerical method—Monte Carlo simulation, FFT/Numerical Integration, or Interest-Rate Trees—based on the specific instrument and model requirements. It emphasizes modern object-oriented practices, such as using finpricer, fininstrument, and finmodel, while discouraging legacy functions to ensure efficient and accurate financial modeling.

What it does

  • Routes pricing requests to Monte Carlo, FFT/Numerical Integration, or IR Tree methods.
  • Supports a wide range of models including Black-Scholes, Heston, Hull-White, and SABR-BGM.
  • Facilitates the calculation of Greeks such as delta, vega, gamma, theta, and rho.
  • Provides standardized workflows for constructing instruments, models, and pricers.
  • Enforces best practices like using datetime objects and modern object-oriented APIs.
  • Enables pricing of complex instruments like exotic options and callable bonds.

When to use it

  • When pricing options, bonds, swaps, or derivatives in MATLAB.
  • When you need to compute Greeks or sensitivities for financial instruments.
  • When choosing between simulation, tree-based, or transform-based pricing methods.
  • When working with stochastic volatility or jump-diffusion models.
  • When you need to compare pricing results across different numerical methods.

Advantages

  • Ensures consistent and modern coding standards using the latest toolbox APIs.
  • Reduces errors by routing to the most appropriate numerical method for the instrument.
  • Simplifies the implementation of complex financial models and sensitivity analysis.
  • Provides clear guidance on object-oriented instrument construction.
  • Prevents common pitfalls like using legacy functions or incorrect date formats.

Usage examples

“How do I price an Asian option using Monte Carlo in MATLAB?”
The agent will guide you to use the AssetMonteCarlo pricer, detailing the setup of the stochastic model, instrument, and the simulation parameters required for path-dependent options.
“Price a callable fixed-rate bond using a Hull-White tree.”
The agent will provide the workflow for creating an OptionEmbeddedFixedBond instrument and a HullWhite model, then using the IRTree pricer to calculate the price.
“Calculate the delta and vega for a European vanilla call option under Heston.”
The agent will direct you to the FFT/Numerical Integration reference, showing how to use the price function with the Heston model to return both the price and the requested Greeks.

Install

  1. Download the skill as a ZIP:

    https://mp-staging.autogineer.com/agent-skills/matlab/matlab-price-instrument/download

  2. Unzip it into the cross-client skills folder of your project:

    mkdir -p .agents/skills && unzip matlab-price-instrument.zip -d .agents/skills

Documentation by MathWorks

Price Financial Instruments in MATLAB

Price financial instruments in MATLAB using the Financial Instruments Toolbox. Route to the correct numerical pricing method based on the user's request, then follow the method-specific reference for implementation details.

When to Use

  • User asks to price options, bonds, swaps, or derivatives in MATLAB

  • User asks for Greeks/sensitivities (delta, vega, gamma, theta, rho, lambda)

  • User mentions finpricer, fininstrument, finmodel, or ratecurve

  • User asks about Monte Carlo, tree / lattice, or FFT (Fast Fourier Transform) / FRFT (Fractional FFT) pricing

  • User wants to compare pricing methods for the same instrument

When NOT to Use

  • User is working with a non-MATLAB environment

  • User wants to build a custom instrument with a novel payoff function

  • User explicitly asks for a from-scratch implementation without the Financial Instruments Toolbox

Method Routing

Identify the pricing method from the user's request and read the corresponding reference:

MethodReferenceWhen to Use
Monte Carlo (MC)references/monte-carlo.mdSimulation-based pricing: path-dependent options, exotic options, Interest Rate (IR) derivatives via MC, rough volatility
FFT / FRFT / Numerical Integrationreferences/ni-fft.mdFast pricing: European vanilla options under Heston/Bates/Merton via characteristic functions
Interest Rate Treesreferences/embedded-bond-tree.mdCallable/puttable fixed-rate bonds with Hull-White (HW), Black-Karasinski (BK), Black-Derman-Toy (BDT), Cox-Ingersoll-Ross (CIR) tree models
Routing Rules

Read exactly one reference (and any relevant sub-references) that best matches based on these rules:

  1. User mentions a specific pricer:

    • AssetMonteCarlo, RoughVolMonteCarlo, IRMonteCarlo -> references/monte-carlo.md

    • FFT, NumericalIntegration -> references/ni-fft.md

    • IRTree -> references/embedded-bond-tree.md

  2. User mentions a specific numerical method and associated concepts:

    • Monte Carlo, simulation, NumTrials, SimulationDates -> references/monte-carlo.md

    • FFT, FRFT, characteristic function, CharacteristicFcnStep, LogStrikeStep -> references/ni-fft.md

    • Interest-rate tree, TreeDates, exercise probability -> references/embedded-bond-tree.md

  3. User mentions instrument type without a method:

    • Path-dependent options or other exotic options (Asian, Barrier, Lookback, Cliquet, Touch, Spread, Binary) -> references/monte-carlo.md

    • European vanilla options under stochastic vol/jump models -> references/ni-fft.md

    • Callable/puttable fixed-rate bonds -> references/embedded-bond-tree.md

    • IR derivatives (caps, floors, swaptions, swaps) -> references/monte-carlo.md

  4. User mentions model name without a method:

    • Heston, Bates, Merton + European vanilla -> references/ni-fft.md

    • Heston, Bates, Merton + exotic/path-dependent -> references/monte-carlo.md

    • Hull-White, Black-Karasinski, BDT, CIR + callable/puttable bond -> references/embedded-bond-tree.md

    • Hull-White, BK, Linear Gaussian 2 Factor (G2PP), Brace-Gatarek-Musiela (BGM), SABR-BGM + caps/floors/swaptions -> references/monte-carlo.md

    • Rough volatility (RoughBergomi, RoughHeston) -> references/monte-carlo.md

  5. Ambiguous:

    • When asked to price European vanilla options without specifying pricing method (e.g., "price European call options with Heston in MATLAB"), default to references/ni-fft.md (faster, more accurate for European vanilla)

    • If user needs path simulation in addition to price and sensitivities, use references/monte-carlo.md

    • If user requests exercise probabilities at each time step for option embedded bonds, use references/embedded-bond-tree.md

Shared Conventions

All three methods share these conventions:

  • Always prefer to use finpricer/fininstrument/finmodel/ratecurve objects (modern OO API) over legacy functions

  • Never use legacy functions unless the user explicitly names them, or the reference suggests them for specific use cases

  • Use name-value pairs with string keys: "DiscountCurve", not positional arguments

  • Parameter names are case-insensitive but write them in MixedCase for clarity

  • Always use datetime for dates (not datenum)

  • Do not use price as a variable name — it shadows the price function; prefer p, or capitalized Price

  • Request two outputs from price() when Greeks or tree data are needed: [p, pr] = price(...)

Common Mistakes (Cross-Method)

Best practice: Check MATLAB documentation (doc <functionName>, or help <functionName>, etc.) via the MATLAB MCP server before writing code.

MistakeCorrect
finpricer("MonteCarlo", ...)finpricer("AssetMonteCarlo", ...) or finpricer("IRMonteCarlo", ...)
finpricer("HWMonteCarlo", ...)finpricer("IRMonteCarlo", ...) with a HullWhite model
Mixing pricer families (e.g., FFT pricer for Asian option)FFT/NI only works for European vanilla; use AssetMonteCarlo for exotics
Using datenumAlways use datetime
Forgetting second output for Greeks[p, pr] = price(pricer, inst, "delta") — Greeks are in pr.Results
discount(rc, dates)discountfactors(rc, dates) — ratecurve uses discountfactors(), not discount()

Copyright 2026 The MathWorks, Inc.

Files

references/ni-fft/legacy-api-shared.md

Legacy API — Shared Reference

All legacy functions follow the pattern optBy<Model>FFT, optBy<Model>NI, optSensBy<Model>FFT, optSensBy<Model>NI. They are supported (R2018a+) but the OO workflow (R2020a+) is recommended for new code. Use legacy when you need ExpandOutput for surfaces or Strike=[] for grid inspection.

Output Rules

  • FFT functions return [..., StrikeOut] — StrikeOut is always the last output (optional)

  • NI functions return price or sensitivity outputs only — no StrikeOut

  • For optSensBy* functions, OutSpec controls which sensitivities are returned; outputs are positional (1:1 with entries)

% FFT: StrikeOut is always LAST, after all OutSpec entries
[Delta, Gamma, Vega, StrikeOut] = optSensBy<Model>FFT(..., ...
    'OutSpec', ["delta", "gamma", "vega"], 'CharacteristicFcnStep', 0.1);

% NI: no StrikeOut
[Delta, Gamma, Vega] = optSensBy<Model>NI(..., ...
    'OutSpec', ["delta", "gamma", "vega"]);

Name-Value Arguments

FFT-Specific
NameDefaultRecommendation
NumFFT4096Keep default; increase CharacteristicFcnStep instead
CharacteristicFcnStep0.01Set to 0.1 or higher but not above 0.4
LogStrikeStep2*pi/NumFFT/CharacteristicFcnStepSet to 2*pi/NumFFT/CharacteristicFcnStep/10 for FRFT
DampingFactor1.5Leave at default
Quadrature"simpson"Leave at default
NI-Specific
NameDefaultNotes
AbsTol1e-10Absolute error tolerance (leave at default)
RelTol1e-6Relative error tolerance (leave at default)
IntegrationRange[1e-9 Inf]Adjust if integration warnings appear
Framework"heston1993"Also "lewis2001"
Shared (all models)
NameDefaultNotes
Basis0Day-count basis (numeric: 0,1,2,...,13)
DividendYield0Continuously compounded yield
ExpandOutputfalseExpand to strike-by-maturity matrices

Model-specific NV args: Heston/Bates have LittleTrap (default true, always keep true) and VolRiskPremium (default 0). Merton does NOT support either — passing them causes an error.

ExpandOutput: Efficient Surface Generation

Setting 'ExpandOutput', true returns outputs as NumStrikes-by-NumMaturities matrices. This is the fastest way to generate surfaces — 2–6× faster than looping over maturities. Not available in the OO workflow.

% Pattern: column vector of strikes, vector of maturities
Strike = (80:5:120)';       % column vector
Maturity = [datetime(2026,9,30); datetime(2026,12,31); ...
            datetime(2027,6,30); datetime(2027,12,31)];

% Pricing surface (9-by-4 matrix)
[PriceSurface, StrikeOut] = optBy<Model>FFT(Rate, AssetPrice, Settle, ...
    Maturity, OptSpec, Strike, <model params>, ...
    'CharacteristicFcnStep', 0.1, 'ExpandOutput', true);

% Sensitivity surfaces (each 9-by-4)
[Delta, Vega, StrikeOut] = optSensBy<Model>FFT(Rate, AssetPrice, Settle, ...
    Maturity, OptSpec, Strike, <model params>, ...
    'OutSpec', ["delta", "vega"], 'CharacteristicFcnStep', 0.1, ...
    'ExpandOutput', true);

Strike=[] Grid Inspection (Legacy Only)

Pass empty Strike to compute prices on the entire internal FFT/FRFT grid. StrikeOut then returns all NumFFT grid strikes centered around log(AssetPrice).

[Price, StrikeOut] = optBy<Model>FFT(Rate, AssetPrice, Settle, Maturity, ...
    OptSpec, [], <model params>, 'CharacteristicFcnStep', 0.1);
% StrikeOut has NumFFT entries — inspect grid density and coverage

Not possible in the OO API (which requires specific strikes on fininstrument).

Legacy-to-OO Mapping

LegacyOO Equivalent
Rate (scalar)ratecurve("zero", Settle, Maturity, Rate, 'Compounding', -1)
AssetPrice'SpotPrice', AssetPrice on pricer
OptSpec, Strike, Maturityfininstrument("Vanilla", 'Strike', K, 'ExerciseDate', T, 'OptionType', OptSpec)
'DividendYield', q'DividendValue', q on pricer
'OutSpec', ["delta","vega"]Third arg to price(): ["Delta","Vega"]
Positional sensitivity outputsoutPR.Results table with named columns
StrikeOut (last FFT output)Not needed — OO prices at exact requested strikes

Copyright 2026 The MathWorks, Inc.

Requirements and compatibility

Works with: Claude Code, Claude apps, OpenAI Codex, GitHub Copilot, Cursor, Gemini CLI, Kiro, OpenCode, Goose, Amp, Roo Code, JetBrains Junie, Factory Droid, Devin (ex-Windsurf), Mistral Vibe, OpenHands, Letta

“Works with” means the tool reads the open Agent Skills format; a skill written for one tool may use features others lack.

Needs: Needs an MCP server

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Attribution and licence

Created by
MathWorks
Publisher
MathWorks (Official)
Source
matlab/matlab-agentic-toolkit · skills-catalog/computational-finance/matlab-price-instrument · commit 2a7f215
Licence
BSD 2-Clause License (redistribution allowed)
  • LICENSE (added by AutoGineer from LICENSE.md)
  • ATTRIBUTION.md (written by AutoGineer)
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