www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaFloatingRateNoteUsingaBlackKarasinskiTreeExample.m
%% Price a Floating-Rate Note Using a Black-Karasinski Tree % Price a 20-basis point floating-rate note using a Black-Karasinski interest-rate % tree. % Copyright 2015 The MathWorks, Inc. %% % Load the file |deriv.mat|, which provides |BKTree|. The |BKTree| structure % contains the time and interest-rate information needed to price the note. load deriv.mat; %% % Define the floating-rate note using the required arguments. Other arguments % use defaults. Spread = 20; Settle = '01-Jan-2005'; Maturity = '01-Jan-2006'; %% % Use |floatbybk| to compute the price of the note. Price = floatbybk(BKTree, Spread, Settle, Maturity)