www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/Pricea3FloorInstrumentUsingaBlackKarasinskiInterestRateTExample.m
%% Price a 3% Floor Instrument Using a Black-Karasinski Interest-Rate Tree % Copyright 2015 The MathWorks, Inc. %% % Load the file |deriv.mat|, which provides |BKTree|. The |BKTree| structure % 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 = 0.03; Settle = '01-Jan-2004'; Maturity = '01-Jan-2007'; %% % Use |floorbybk| to compute the price of the floor instrument. Price = floorbybk(BKTree, Strike, Settle, Maturity)