www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaCompoundOptionUsingtheStandardTrinomialTreeModelExample.m

    %% Price a Compound Option Using the Standard Trinomial Tree Model  

% Copyright 2015 The MathWorks, Inc.


%% 
% Create a |RateSpec|. 
StartDates = 'Jan-1-2009'; 
EndDates = 'Jan-1-2013'; 
Rates = 0.035; 
Basis = 1; 
Compounding = -1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding, 'Basis', Basis)   
%% 
% Create a |StockSpec|. 
AssetPrice = 85; 
Sigma = 0.15; 
StockSpec = stockspec(Sigma, AssetPrice)  
%% 
% Create an |STTTree|. 
NumPeriods = 4;
TimeSpec = stttimespec(StartDates, EndDates, 4);
STTTree = stttree(StockSpec, RateSpec, TimeSpec)  
%% 
% Define the compound option and compute the price. 
USettle = '1/1/09';
UExerciseDates = '1/1/12';
UOptSpec =  'call';
UStrike = 95;
UAmericanOpt = 1;
CSettle = '1/1/09';
CExerciseDates = '1/1/11';
COptSpec = 'put';
CStrike = 5;
CAmericanOpt = 1;

Price= compoundbystt(STTTree, UOptSpec, UStrike, USettle, UExerciseDates,...
UAmericanOpt, COptSpec, CStrike, CSettle,CExerciseDates, CAmericanOpt)