www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PriceabondbyhwSteppedCouponBondExample.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 HW 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;

HWVolSpec = hwvolspec(RS.ValuationDate, VolDates, VolCurve,... 
AlphaDates, AlphaCurve);
HWTimeSpec = hwtimespec(RS.ValuationDate, VolDates, Compounding);
HWT = hwtree(HWVolSpec, RS, HWTimeSpec);  

%% 
% Compute the price of the stepped coupon bonds. 
PHW= bondbyhw(HWT, CouponRate, Settle,Maturity , Period)