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%% Compute the Price of an Amortizing and Vanilla Floors Using the BK Model % Copyright 2015 The MathWorks, Inc. %% % Load |deriv.mat| to specify the |BKTree| and then define the floor instrument. load deriv.mat; Settle = '01-Jan-2004'; Maturity = '01-Jan-2008'; Strike = 0.045; Reset = 1; Principal ={{'01-Jan-2005' 100;'01-Jan-2006' 60;'01-Jan-2007' 30;'01-Jan-2008' 30};... 100}; %% % Price the amortizing and vanilla floors. Basis = 1; Price = floorbybk(BKTree, Strike, Settle, Maturity, Reset, Basis, Principal)