www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceabondbybkSteppedCouponBondExample.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 BK tree using the following market data: VolDates = ['1-Jan-2011'; '1-Jan-2012'; '1-Jan-2013'; '1-Jan-2014']; VolCurve = 0.01; AlphaDates = '01-01-2014'; AlphaCurve = 0.1; BKVolSpec = bkvolspec(RS.ValuationDate, VolDates, VolCurve,... AlphaDates, AlphaCurve); BKTimeSpec = bktimespec(RS.ValuationDate, VolDates, Compounding); BKT = bktree(BKVolSpec, RS, BKTimeSpec); %% % Compute the price of the stepped coupon bonds. PBK= bondbybk(BKT, CouponRate, Settle,Maturity , Period)