www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaConvertibleBondUsingaCRRTreeExample.m
%% Price Convertible Bond Using a CRR Tree % Copyright 2015 The MathWorks, Inc. %% % Price a convertible bond using the following data for the interest-rate term structure: StartDates = 'Jan-1-2014'; EndDates = 'Jan-1-2015'; Rates = 0.1; Basis = 1; %% % Create the |RateSpec| and |StockSpec|. Sigma = 0.3; Price = 50; RateSpec = intenvset('ValuationDate',StartDates,'StartDates',StartDates,'EndDates',EndDates,... 'Rates',Rates,'Compounding',-1,'Basis',Basis) StockSpec = stockspec(Sigma,Price) %% % Create the CRR tree for the equity. Settle = '1-Jan-2014'; Maturity = '1-Oct-2014'; NumSteps = 3; TimeSpec = crrtimespec(Settle,Maturity,NumSteps); CRRT = crrtree(StockSpec,RateSpec,TimeSpec) %% % Define and price the convertible bond. CouponRate = 0; Period = 1; ConvRatio = 2; CallExDates = '1-Oct-2014'; CallStrike = 115; AmericanCall = 1; Spread = 0.05; [Price,PriceTree,EqtTree,DbtTree] = cbondbycrr(CRRT,CouponRate,Settle,Maturity,ConvRatio,... 'Period',Period,'Spread',Spread,'CallExDates',CallExDates,'CallStrike',CallStrike,'AmericanCall',AmericanCall)