Price options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree
[
prices options on floating-rate notes from a Heath-Jarrow-Morton interest rate tree.
Price
,PriceTree
]
= optfloatbyhjm(HJMTree
,OptSpec
,Strike
,ExerciseDates
,AmericanOpt
,Spread
,Settle
,Maturity
)optfloatbyhjm
computes prices of options on vanilla floating-rate
notes.
[
adds optional name-value pair arguments. Price
,PriceTree
]
= optfloatbyhjm(___,Name,Value
)
bondbyhjm
| capbyhjm
| cfbyhjm
| floatbyhjm
| floorbyhw
| hjmtree
| instoptfloat
| swapbyhjm