www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CreateanInstrumentPortfoliowithaEmbeddedOptionFloatingRaExample.m

    %% Create an Instrument Portfolio with a Embedded Option Floating-Rate Note  

% Copyright 2015 The MathWorks, Inc.


%% 
% Define the embedded call option: 
Settle = 'Nov-1-2012';
Maturity   = 'Nov-1-2015'; 
Spread = 25;
OptSpec = 'call'; 
Strike= 100;  
ExerciseDates = 'Nov-1-2015'; 
Reset = 1;  

%% 
% Create |InstSet|: 
InstSet = instoptemfloat(Spread, Settle, Maturity, OptSpec,...
Strike,  ExerciseDates,'Reset', Reset)  

%% 
% Display the instrument: 
instdisp(InstSet)