www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputethePriceofanAmortizingFloorUsingtheBlackModelExample.m
%% Compute the Price of an Amortizing Floor Using the Black Model % Copyright 2015 The MathWorks, Inc. %% % Define the |RateSpec|. Rates = [0.0358; 0.0421; 0.0473; 0.0527; 0.0543]; ValuationDate = '15-Nov-2011'; StartDates = ValuationDate; EndDates = {'15-Nov-2012';'15-Nov-2013';'15-Nov-2014' ;'15-Nov-2015';'15-Nov-2016'}; Compounding = 1; RateSpec = intenvset('ValuationDate', ValuationDate,'StartDates', StartDates,... 'EndDates', EndDates,'Rates', Rates, 'Compounding', Compounding) %% % Define the floor instrument. Settle ='15-Nov-2011'; Maturity = '15-Nov-2015'; Strike = 0.05; Reset = 2; Principal ={{'15-Nov-2012' 100;'15-Nov-2013' 70;'15-Nov-2014' 40;'15-Nov-2015' 10}}; %% % Price the amortizing floor. Volatility = 0.20; Price = floorbyblk(RateSpec, Strike, Settle, Maturity, Volatility,... 'Reset',Reset,'Principal', Principal)