[Price,PriceTree]
= floorbybdt(BDTTree,Strike,Settle,Maturity) computes
the price of a floor instrument from a Black-Derman-Toy interest-rate
tree. floorbybdt computes prices of vanilla floors
and amortizing floors.
Interest-rate tree structure, specified by using bdttree.
Data Types: struct
Strike — Rate at which floor is exercised decimal
Rate at which the floor is exercised, specified as a NINST-by-1 vector
of decimal values.
Data Types: double
Settle — Settlement date for floor serial date number | date character vector | cell array of date character vectors
Settlement date for the floor, specified as a NINST-by-1 vector
of serial date numbers or date character vectors. The Settle date
for every floor is set to the ValuationDate of
the BDT tree. The floor argument Settle is ignored.
Data Types: double | char | cell
Maturity — Maturity date for floor serial date number | date character vector | cell array of date character vectors
Maturity date for the floor, specified as a NINST-by-1 vector
of serial date numbers or date character vectors.
Data Types: double | char | cell
FloorReset — Reset frequency payment per year 1 (default) | numeric
(Optional) Reset frequency payment per year, specified as a
NINST-by-1 vector.
Data Types: double
Basis — Day-count basis of instrument 0 (actual/actual) (default) | integer from 0 to 13
(Optional) Day-count basis representing the basis used when annualizing the input
forward rate, specified as a NINST-by-1 vector
of integers.
Principal — Notional principal amount 100 (default) | numeric
(Optional) Notional principal amount, specified as a
NINST-by-1 of notional principal amounts, or a
NINST-by-1 cell array, where each element is a
NumDates-by-2 cell array where the first
column is dates and the second column is associated principal amount. The date
indicates the last day that the principal value is valid.
Use Principal to pass a schedule to compute the price for an
amortizing floor.
Expected price of the floor at time 0, returned as a NINST-by-1 vector.
PriceTree — Tree structure with values of floor at each node vector
Tree structure with values of the floor at each node, returned as a MATLAB® structure of trees containing vectors of instrument prices and a vector
of observation times for each node:
A floor is a contract that includes a guarantee
setting the minimum interest rate to be received by the holder, based on an otherwise
floating interest rate.
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