Instrument prices from Black-Karasinski interest-rate tree
[
computes arbitrage-free prices for instruments using an interest-rate tree created with
Price
,PriceTree
] = bkprice(BKTree
,InstSet
)bktree
. All instruments contained in a
financial instrument variable, InstSet
, are priced.
bkprice
handles instrument types: 'Bond'
,
'CashFlow'
, 'OptBond'
,
'OptEmBond'
, 'OptEmBond'
,
'OptFloat'
, 'OptEmFloat'
,
'Fixed'
, 'Float'
, 'Cap'
,
'Floor'
, 'RangeFloat'
, 'Swap'
.
See instadd
to construct defined types.
bdttree
| bksens
| instadd
| intenvprice
| intenvsens