MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuel d'utilisateur télécharger pdf (Page 24)

R2013a

5-2

Pricing functions for options on floating-rate notes (FRNs)

Support for pricing a floating-rate note instrument with an option using tree models.

Function Purpose

optfloatbybdt Price an option for a floating-rate note using a Black-Derman-

Toy interest-rate tree.

optfloatbyhjm Price an option for a floating-rate note using a Heath-Jarrow-

Morton interest-rate tree.

optfloatbyhw Price an option for a floating-rate note using a Hull-White

interest-rate tree.

optfloatbybk Price an option for a floating-rate note using a Black-

Karasinski interest-rate tree.

instoptfloat Define the option instrument for a floating-rate note.

Pricing functions for FRNs with embedded options

Support for pricing a floating-rate note instrument with an embedded option using tree

models.

Function Purpose

optemfloatbybdt Price an embedded option for a floating-rate note using a

Black-Derman-Toy interest-rate tree.

optemfloatbybk Price an embedded option for a floating-rate note using a

Black-Karasinski interest-rate tree.

optemfloatbyhjm Price an embedded option for a floating-rate note using a

Heath-Jarrow-Morton interest-rate tree.

optemfloatbyhw Price an embedded option for a floating-rate note using a Hull-

White interest-rate tree.

instoptemfloat Define the floating-rate note with an embedded option

instrument.

Performance enhancements in implied volatility calculations

Improved performance for calculating implied volatility when using impvbybjs and

impvbyrgw.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuel d'utilisateur Page 24