www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/Pricea10FloorInstrumentUsingaBDTInterestRateTreeExample.m
%% Price a 10% Floor Instrument Using a BDT Interest-Rate Tree % Copyright 2015 The MathWorks, Inc. %% % Load the file |deriv.mat|, which provides |BDTTree|. |BDTTree| contains % the time and interest-rate information needed to price the floor instrument. load deriv.mat; %% % Set the required values. Other arguments will use defaults. Strike = 0.10; Settle = '01-Jan-2000'; Maturity = '01-Jan-2004'; %% % Use |floorbybdt| to compute the price of the floor instrument. Price = floorbybdt(BDTTree, Strike, Settle, Maturity)