www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaBondUsinganHJMTreeExample.m
%% Price a Bond Using an HJM Tree % Price a 4% bond using an HJM interest-rate tree. % Copyright 2015 The MathWorks, Inc. %% % Load |deriv.mat|, which provides |HJMTree|. The |HJMTree| structure contains % the time and interest-rate information needed to price the bond. load deriv.mat; %% % Define the bond using the required arguments. Other arguments use defaults. CouponRate = 0.04; Settle = '01-Jan-2000'; Maturity = '01-Jan-2004'; %% % Use |bondbyhjm| to compute the price of the bond. Price = bondbyhjm(HJMTree, CouponRate, Settle, Maturity)