www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaConvertibleBondUsingaSTTTreeExample.m
%% Price a Convertible Bond Using a STTTree % Copyright 2015 The MathWorks, Inc. %% % Create a |RateSpec|. StartDates = 'Jan-1-2015'; EndDates = 'Jan-1-2020'; Rates = 0.025; Basis = 1; RateSpec = intenvset('ValuationDate',StartDates,'StartDates',StartDates,... 'EndDates',EndDates,'Rates',Rates,'Compounding',-1,'Basis',Basis) %% % Create a |StockSpec|. AssetPrice = 80; Sigma = 0.12; StockSpec = stockspec(Sigma,AssetPrice) %% % Create a |STTTree|. TimeSpec = stttimespec(StartDates, EndDates, 20); STTTree = stttree(StockSpec, RateSpec, TimeSpec) %% % Define the convertible bond. The convertible bond can be called starting % on Jan 1, 2016 with a strike price of 95. CouponRate = 0.03; Settle = 'Jan-1-2015'; Maturity = 'April-1-2018'; Period = 1; CallStrike = 95; CallExDates = [datenum('Jan-1-2016') datenum('April-1-2018')]; ConvRatio = 1; Spread = 0.025; %% % Price the convertible bond using the standard trinomial tree model. [Price,PriceTree,EqtTre,DbtTree] = cbondbystt(STTTree,CouponRate,Settle,Maturity,ConvRatio,... 'Period',Period,'Spread',Spread,'CallExDates',CallExDates,'CallStrike',CallStrike,'AmericanCall',1)