www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputeInstrumentSensitivitiesandPricesforCapandBondinstExample.m
%% Compute Instrument Sensitivities and Prices for Cap and Bond instruments % Copyright 2015 The MathWorks, Inc. %% % Load the tree and instruments from the |deriv.mat| data file. load deriv.mat; BDTSubSet = instselect(BDTInstSet,'Type', {'Bond', 'Cap'}); instdisp(BDTSubSet) %% % Compute |Delta| and |Gamma| for the cap and bond instruments contained % in the instrument set. [Delta, Gamma] = bdtsens(BDTTree, BDTSubSet)