www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputeAgencyOASValueExample.m
%% Compute the Agency |OAS| Value % This example shows how to compute the agency |OAS| value. %% % Copyright 2015 The MathWorks, Inc. Settle = datenum('20-Jan-2010'); ZeroRates = [.07 .164 .253 1.002 1.732 2.226 2.605 3.316 ... 3.474 4.188 4.902]'/100; ZeroDates = daysadd(Settle,360*[.25 .5 1 2 3 4 5 7 10 20 30],1); ZeroData = [ZeroDates ZeroRates]; Maturity = datenum('30-Dec-2013'); CouponRate = .022; Price = 99.155; Vol = .5117; CallDate = datenum('30-Dec-2010'); OAS = agencyoas(ZeroData, Price, CouponRate, Settle, Maturity, Vol, CallDate)