www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceofaBondOptionFromanHJMForwardRateTreeExample.m
%% 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')