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    %% Compute the Price of a Bond Option From an HJM Forward-Rate Tree  

% Copyright 2015 The MathWorks, Inc.


%% 
% Using the HJM forward-rate tree in the |deriv.mat| file, price a European
% call option on a 4% bond with a strike of 96. The exercise date for the
% option is Jan. 01, 2003. The settle date for the bond is Jan. 01, 2000,
% and the maturity date is Jan. 01, 2004. Load the file |deriv.mat|, which
% provides |HJMTree|. The |HJMTree| structure contains the time and forward-rate
% information needed to price the bond. 
load deriv.mat;   

%% 
% Use the function| optbondbyhjm| to compute the price of the option. 
Price = optbndbyhjm(HJMTree,'Call',96,'01-Jan-2003',... 
0,0.04,'01-Jan-2000','01-Jan-2004')