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

    %% Compute the Price of a Range Note Using a Heath-Jarrow-Morton Tree
% This example shows how to compute the price of a range note using
% a Heath-Jarrow-Morton tree with the following interest-rate term structure
% data.
%%

% Copyright 2015 The MathWorks, Inc.

Rates = [0.035; 0.042147; 0.047345; 0.052707];
ValuationDate = 'Jan-1-2011';
StartDates = ValuationDate;
EndDates = {'Jan-1-2012'; 'Jan-1-2013'; 'Jan-1-2014'; 'Jan-1-2015'};
Compounding = 1;

% define RateSpec
RS = intenvset('ValuationDate', ValuationDate, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates, 'Compounding', Compounding);
                       
% range note instrument matures in Jan-1-2014 and has the following RateSchedule:
Spread = 100;
Settle = 'Jan-1-2011';
Maturity = 'Jan-1-2014';
RateSched(1).Dates = {'Jan-1-2012'; 'Jan-1-2013'  ; 'Jan-1-2014'};
RateSched(1).Rates = [0.045 0.055 ; 0.0525  0.0675; 0.06 0.08];

% data to build the tree is as follows:
Volatility = [.2; .19; .18; .17];
CurveTerm = [ 1;  2;   3;   4];
MaTree = {'Jan-1-2012'; 'Jan-1-2013'; 'Jan-1-2014'; 'Jan-1-2015'};
HJMTS = hjmtimespec(ValuationDate, MaTree);
HJMVS = hjmvolspec('Proportional', Volatility, CurveTerm, 1e6);
HJMT = hjmtree(HJMVS, RS, HJMTS);

% price the instrument  
Price = rangefloatbyhjm(HJMT, Spread, Settle, Maturity, RateSched)