www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CompoundOptionEQPEquityTreeExample.m
%% Price a Compound Option Using an EQP Equity Tree % This example shows how to price a compound option using a EQP equity tree by loading the file |deriv.mat|, % which provides |EQPTree|. The |EQPTree| structure contains the stock specification and time information needed to price % the option. %% % Copyright 2015 The MathWorks, Inc. load deriv.mat UOptSpec = 'Call'; UStrike = 130; USettle = '01-Jan-2003'; UExerciseDates = '01-Jan-2006'; UAmericanOpt = 1; COptSpec = 'Put'; CStrike = 5; CSettle = '01-Jan-2003'; CExerciseDates = '01-Jan-2005'; Price = compoundbyeqp(EQPTree, UOptSpec, UStrike, USettle, ... UExerciseDates, UAmericanOpt, COptSpec, CStrike, CSettle, ... CExerciseDates)