www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CreateaFloatFloatSwapandPricewithbdtpriceExample.m
%% Create a Float-Float Swap and Price with |bdtprice| %% % Use |instswap| to create a float-float swap and price the swap with |bdtprice|. RateSpec = intenvset('Rates',.05,'StartDate',today,'EndDate',datemnth(today,60)); IS = instswap([.02 .03],today,datemnth(today,60),[], [], [], [1 1]); VolSpec = bdtvolspec(today,datemnth(today,[10 60]),[.01 .02]); TimeSpec = bdttimespec(today,cfdates(today,datemnth(today,60),1)); BDTTree = bdttree(VolSpec,RateSpec,TimeSpec); bdtprice(BDTTree,IS)