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