www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/Pricea3CapInstrumentUsinganHJMForwardRateTreeExample.m
%% Price a 3% Cap Instrument Using an HJM Forward-Rate Tree % Copyright 2015 The MathWorks, Inc. %% % Load the file |deriv.mat|, which provides |HJMTree|. The |HJMTree| structure % contains the time and forward-rate information needed to price the cap % instrument. load deriv.mat; %% % Set the required values. Other arguments will use defaults. Strike = 0.03; Settle = '01-Jan-2000'; Maturity = '01-Jan-2004'; %% % Use |capbyhjm| to compute the price of the cap instrument. Price = capbyhjm(HJMTree, Strike, Settle, Maturity)