www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceSensitivityInterestRateTermStruExample.m
%% Compute the Price and Sensitivity From the Interest-Rate Term Structure % This example shows how to price a portfolio containing two cash flow % instruments paying interest annually over the four-year period from % January 1, 2000 to January 1, 2004. Load the file |deriv.mat|, which % provides |ZeroRateSpec|. The |ZeroRateSpec| structure contains the % interest-rate information needed to price the instruments. %% % Copyright 2015 The MathWorks, Inc. load deriv.mat CFlowAmounts =[5 NaN 5.5 105;5 0 6 105]; CFlowDates = [730852, NaN, 731582,731947; 730852, 731217, 731582, 731947]; Settle = 730486; Price = cfbyzero(ZeroRateSpec, CFlowAmounts, CFlowDates, Settle)