www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceConvertibleBondUsinganITTTreeExample.m
%% Price a Convertible Bond Using an ITT Tree % Copyright 2015 The MathWorks, Inc. %% % Price a convertible bond using the following data for an |ITTTree| from % |deriv.mat|: load deriv.mat %% % Use |cbondbyitt| to price a convertible bond using an ITT trinomial tree. CouponRate = 0.05; Settle = 'Jan-1-2006'; Maturity = 'Jan-1-2008'; Period = 1; CallStrike = 65; CallExDates = 'Jan-1-2007'; ConvRatio = 1; Spread = 0.015; [Price,PriceTree,EqtTre,DbtTree] = cbondbyitt(ITTTree,CouponRate,Settle,Maturity,ConvRatio,... 'Period',Period,'Spread',Spread,'CallExDates',CallExDates,'CallStrike',CallStrike,'AmericanCall',1)