www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceaSteppedCouponBondExample.m
%% Price a Stepped Coupon Bond % Price single stepped coupon bonds using market data. % Copyright 2015 The MathWorks, Inc. %% % Define the interest-rate term structure. Rates = [0.035; 0.042147; 0.047345; 0.052707]; ValuationDate = 'Jan-1-2010'; StartDates = ValuationDate; EndDates = {'Jan-1-2011'; 'Jan-1-2012'; 'Jan-1-2013'; 'Jan-1-2014'}; Compounding = 1; %% % Create the |RateSpec|. RS = intenvset('ValuationDate', ValuationDate, 'StartDates', StartDates, 'EndDates',... EndDates, 'Rates', Rates, 'Compounding', Compounding) %% % Create the stepped bond instrument. Settle = '01-Jan-2010'; Maturity = {'01-Jan-2011';'01-Jan-2012';'01-Jan-2013';'01-Jan-2014'}; CouponRate = {{'01-Jan-2012' .0425;'01-Jan-2014' .0750}}; Period = 1; %% % Build the BDT tree and assume the volatility to be 10% using the following % market data: Sigma = 0.1; BDTTimeSpec = bdttimespec(ValuationDate, EndDates); BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Sigma*ones(1, length(EndDates))'); BDTT = bdttree(BDTVolSpec, RS, BDTTimeSpec) %% % Compute the price of the stepped coupon bonds. PBDT= bondbybdt(BDTT, CouponRate, Settle,Maturity , Period)