www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaFloatingRateNoteUsinganHJMTreeExample.m
%% Price a Floating-Rate Note Using an HJM Tree % Price a 20-basis point floating-rate note using an HJM forward-rate tree. % Copyright 2015 The MathWorks, Inc. %% % Load the file |deriv.mat|, which provides |HJMTree|. The |HJMTree| 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-2000'; Maturity = '01-Jan-2003'; %% % Use |floatbyhjm| to compute the price of the note. Price = floatbyhjm(HJMTree, Spread, Settle, Maturity)