www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaEuropeanSwaptionUsingtheBlackModelWheretheYieldCurExample.m
%% Price a European Swaption Using the Black Model Where the Yield Curve is Flat at 6% % Price a European swaption that gives the holder the right to enter in % five years into a three-year paying swap where a fixed-rate of 6.2% is % paid and floating is received. Assume that the yield curve is flat at % 6% per annum with continuous compounding, the volatility of the swap rate % is 20%, the principal is $100, and payments are exchanged semiannually. % Copyright 2015 The MathWorks, Inc. %% % Create the |RateSpec|. Rate = 0.06; Compounding = -1; ValuationDate = 'Jan-1-2010'; EndDates = 'Jan-1-2020'; Basis = 1; RateSpec = intenvset('ValuationDate', ValuationDate,'StartDates', ValuationDate, ... 'EndDates', EndDates, 'Rates', Rate, 'Compounding', Compounding, 'Basis', Basis); %% % Price the swaption using the Black model. Settle = 'Jan-1-2011'; ExerciseDates = 'Jan-1-2016'; Maturity = 'Jan-1-2019'; Reset = 2; Principal = 100; Strike = 0.062; Volatility = 0.2; OptSpec = 'call'; Price= swaptionbyblk(RateSpec, OptSpec, Strike, Settle, ExerciseDates, Maturity, ... Volatility, 'Reset', Reset, 'Principal', Principal, 'Basis', Basis)