MATLAB: How can use a matlab’s dll of a funtion (with some parameter ) in vc++6.0v

i want make a dll of this function and use it in my vc++ 6.0 application..

function x = IV(RateSpec,StockSpec,Settlement,Maturity,OptSpec,Strike,OptionPrice)

x= impvbybls(RateSpec, StockSpec, Settlement, Maturity, OptSpec,
Strike, OptionPrice);

end

Best Answer

Hi Sandeep,

do you have the compiler? You will need it to generate a DLL. Open deploytool, select "C-shared library target", add IV and compile. Take a look at the examples in the doc how to call the generated DLL.

Titus

Related Solutions

MATLAB: Do I get an error of cash flow dates spanning across tree nodes using FLOATBYBK in the Financial Instruments Toolbox 1.0 (R2012b)

The reason this error is thrown out is the mis-alignment between the dates in the Black-Karasinski tree that you built and the cash flow dates.

The way the tree in your use case is set up makes it impossible to determine the applicable rate used to compute the payoff at the tree nodes. The reason is that the information is lost during the recombination of the tree nodes.

One way to remedy this issue is to place the tree levels at the cash flow dates of the instrument, which is done when specifying the Time Specs in the BK tree.

Once you set up the Rate and Volatility Specs of the BK tree, you would need to define the Time Specs as follows:

Basis             = intenvget(RateSpec, 'Basis');
EOM               = intenvget(RateSpec, 'EndMonthRule');
resetDates        = cfdates(ValuationDate, Maturity, resetVector, Basis, EOM);
BKTimeSpec = bktimespec(RateSpec.ValuationDate, resetDates, resetVector);
BKT        = bktree(BKVolatilitySpec, RateSpec, BKTimeSpec);
Price      = floatbybk(BKT, Spread, RateSpec.ValuationDate, ...
                                Maturity, 'Reset', resetVector)

where 'ValuationDate', 'Maturity',' etc. were used to define the FRN parameters.

MATLAB: What is the difference between IMPVBYBLS and BLSIMPV, and how to I determine the Black-Scholes implied volatility using these functions

Both IMPVBYBLS and BLSIMPV use the Black-Scholes model to compute the implied volatility for a given option price. However, one of the main differences between the two functions is that IMPVBYBLS allows specifying cash dividends as well as continuous dividend yields, while BLSIMPV only allows continuous dividend yields.

If you specify continuous dividend yields for both IMPVBYBLS and BLSIMPV, they produce the same results:

Strike = 29;
AssetPrice = 30;
Sigma = .25;
Rates = 0.05;
Settle = datenum('01-Jan-2008');
Maturity = datenum('01-May-2008');
RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle, ...
'EndDates',Maturity, 'Rates', Rates, 'Compounding', -1,'Basis',1);
DividendType = {'continuous';'continuous'};
DividendAmounts = [0.05; 0.045];
ExDividendDates = {NaN;NaN};
StockSpec = stockspec(Sigma, AssetPrice, DividendType, DividendAmounts);
OptSpec = {'call'; 'put'};
OptionPrice = optstockbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec, Strike);
ImpvVol1 = impvbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec, ...
Strike, OptionPrice)
ImpvVol2 = blsimpv(AssetPrice, Strike, Rates, ...
yearfrac(Settle,Maturity,1), OptionPrice, 'Class', OptSpec,'Yield',DividendAmounts)
ImpvVol1 =
0.250000000000000
0.250000000000000
ImpvVol2 =
0.250000000000000
0.250000000000000

Best Answer

Related Solutions

MATLAB: Do I get an error of cash flow dates spanning across tree nodes using FLOATBYBK in the Financial Instruments Toolbox 1.0 (R2012b)

MATLAB: What is the difference between IMPVBYBLS and BLSIMPV, and how to I determine the Black-Scholes implied volatility using these functions

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