www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/Pricea5FixedRateUsingaBlackKarasinskiInterestRateTreExample.m
%% Price a 5% Fixed-Rate Note 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 note. load deriv.mat; %% % Set the required values. Other arguments will use defaults. CouponRate = 0.05; Settle = '01-Jan-2005'; Maturity = '01-Jan-2006'; %% % Use |fixedbybk| to compute the price of the note. Price = fixedbybk(BKTree, CouponRate, Settle, Maturity)