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)