www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputebksensInstrumentSensitivitiesPricesCapBondInstExample.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; 
BKSubSet = instselect(BKInstSet,'Type', {'Bond', 'Cap'}); 

instdisp(BKSubSet)  

%% 
% Compute |Delta| and |Gamma| for the cap and bond instruments contained
% in the instrument set.  
[Delta, Gamma] = bksens(BKTree, BKSubSet)