applicationMatrix

Class: numerixCrossAsset

Create and register Numerix CROSSASSET Application Matrix object

Syntax

applicationMatrix(C,Desc,Rdata,Cdata,Mdata)


Description

applicationMatrix(C,Desc,Rdata,Cdata,Mdata) creates the CROSSASSET Application Matrix object from the row information (Rdata), column information (Cdata), and matrix (Mdata).

Input Arguments

C — Connection object to Numerix CROSSASSET

object

Connection object to Numerix^® CROSSASSET, specified using the numerixCrossAsset constructor.

Desc — Description of data

character vector or cell array of character vectors

Description of data, specified as a character vector or cell array of character vectors.

Data Types: char | cell

Rdata — Row information for Application Matrix object

numeric values

Row information for Application Matrix object, specified using numeric values.

Example: Rdata = [41992,42020,42449,42905,43115];

Data Types: double

Cdata — Column information for Application Matrix object

numeric values

Column information for Application Matrix object, specified as numeric values.

Example: Cdata = [390,395,400,405];

Data Types: double

Mdata — Volatility information for Application Matrix object

numeric values

Volatility information for Application Matrix object, specified as numeric values.

Example: Mdata = [0.35778, 0.35132, 0.34394, 0.33582;...
0.33405, 0.32819, 0.32669, 0.31904;...
0.31576, 0.31235, 0.30371, 0.30261;...
0.29391, 0.29366, 0.28962, 0.28932;...
0.28787, NaN, 0.28347, NaN ];

Data Types: double

Attributes

Access	public
Static	false
Hidden	false

To learn about attributes of methods, see Method Attributes.

Examples

Create a Numerix CROSSASSET Application Matrix Object

Create a volatility matrix with dates describing the rows and strike prices describing the columns with the description BYSTRIKEVOLDATA. Missing values in the matrix input are denoted as NaN.

Create a Numerix CROSSASSET object.

c = numerixCrossAsset;

Define the matrix data.

rowData = [41992, 42020, 42449, 42905, 43115];
colData = [390, 395, 400, 405];
volData = [0.35778, 0.35132, 0.34394, 0.33582;...
           0.33405, 0.32819, 0.32669, 0.31904;...
           0.31576, 0.31235, 0.30371, 0.30261;...
           0.29391, 0.29366, 0.28962, 0.28932;...
           0.28787, NaN,     0.28347, NaN    ];

Create and register a Numerix CROSSASSET Application Matrix object.

applicationMatrix(c,'BYSTRIKEVOLDATA',rowData,colData,volData);

Version History

Introduced in R2016b