www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceMultipleSwapswithhjmpriceExample.m
%% Price Multiple Swaps with |hjmprice| %% % Use |instswap| to create multiple swaps and price the swaps with |hjmprice|. RateSpec = intenvset('Rates',.05,'StartDate',today,'EndDate',datemnth(today,60)); IS = instswap([.03 .02],today,datemnth(today,60),[], [], [], [1 1]); IS = instswap(IS,[200 300],today,datemnth(today,60),[], [], [], [0 0]); IS = instswap(IS,[.08 300],today,datemnth(today,60),[], [], [], [1 0]); VolSpec = hjmvolspec('Constant', .2); TimeSpec = hjmtimespec(today,cfdates(today,datemnth(today,60),1)); HJMTree = hjmtree(VolSpec,RateSpec,TimeSpec); hjmprice(HJMTree,IS)