www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceAFloorBlackOptionModelExample.m
%% Price a Floor Using the Black Option Pricing Model % This example shows how to price a floor using the Black option pricing % model. Consider an investor who gets into a contract that floors the % interest rate on a $100,000 loan at 6% quarterly compounded for 3 % months, starting on January 1, 2009. Assuming that on January 1, % 2008 the zero rate is 6.9394% continuously compounded and the volatility % is 20%, use this data to compute the floor price. %% % Copyright 2015 The MathWorks, Inc. ValuationDate = 'Jan-01-2008'; EndDates ='April-01-2010'; Rates = 0.069394; Compounding = -1; Basis = 1; % calculate the RateSpec RateSpec = intenvset('ValuationDate', ValuationDate, ... 'StartDates', ValuationDate,'EndDates', EndDates, ... 'Rates', Rates,'Compounding', Compounding,'Basis', Basis); Settle = 'Jan-01-2009'; % floor starts in a year Maturity = 'April-01-2009'; Volatility = 0.20; FloorRate = 0.06; FloorReset = 4; Principal=100000; FloorPrice = floorbyblk(RateSpec, FloorRate, Settle, Maturity, Volatility,... 'Reset',FloorReset,'ValuationDate',ValuationDate,'Principal', Principal,... 'Basis', Basis)