www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceMultipleSwapswithhwpriceExample.m
%% Price Multiple Swaps with |hwprice| %% % Use |instswap| to create multiple swaps and price the swaps with |hwprice|. 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 = hwvolspec(today,datemnth(today,60),.01,datemnth(today,60),.1); TimeSpec = hwtimespec(today,cfdates(today,datemnth(today,60),1)); HWTree = hwtree(VolSpec,RateSpec,TimeSpec); hwprice(HWTree,IS)