www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceofAmericanCallandPutOptionsonaFloatingRatExample.m
%% Compute the Price of American Call and Put Options on a Floating-Rate Note % Copyright 2015 The MathWorks, Inc. %% % Define the interest-rate term structure. Rates = [0.03;0.034;0.038;0.04]; ValuationDate = 'Jan-1-2012'; StartDates = ValuationDate; EndDates = {'Jan-1-2013'; 'Jan-1-2014'; 'Jan-1-2015'; 'Jan-1-2016'}; Compounding = 1; %% % Create the |RateSpec|. RateSpec = intenvset('ValuationDate', ValuationDate, 'StartDates', StartDates,... 'EndDates', EndDates, 'Rates', Rates, 'Compounding', Compounding) %% % Build the BDT tree and assume a volatility of 10%. Sigma = 0.1; BDTTimeSpec = bdttimespec(ValuationDate, EndDates); BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Sigma*ones(1, length(EndDates))'); BDTT = bdttree(BDTVolSpec, RateSpec, BDTTimeSpec) %% % The floater instrument has a spread of 10, a period of one year, and matures % on Jan-1-2016. Spread = 10; Settle = 'Jan-1-2012'; Maturity = 'Jan-1-2016'; Period = 1; %% % Define the option for the floating-rate note. OptSpec = {'call'; 'put'}; Strike = [100;101]; ExerciseDates = 'Jan-1-2015'; AmericanOpt = 1; %% % Compute the price of the call and put options. Price= optfloatbybdt(BDTT, OptSpec, Strike, ExerciseDates,AmericanOpt, Spread,... Settle, Maturity)