www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/PricefloorbyhjmExample.m
%% Price a 3% Floor Instrument Using an HJM Forward-Rate Tree % This example shows how to price a 3% floor instrument using an HJM % forward-rate tree by loading the file |deriv.mat|, which provides |HJMTree|. % The |HJMTree| structure contains the time and forward-rate information % needed to price the floor instrument. %% % Copyright 2015 The MathWorks, Inc. load deriv.mat; Strike = 0.03; Settle = '01-Jan-2000'; Maturity = '01-Jan-2004'; Price = floorbyhjm(HJMTree, Strike, Settle, Maturity)