tailieunhanh - Financial Toolbox For Use with MATLAB Computation Visualization Programming phần 4

Đường cong biến động tức thời hàng năm của đường cong ngắn là nội suy để trang trải các khoảng thời gian của trái phiếu. vector của các biến động hàng năm ở dạng số thập phân. (yêu cầu) vô hướng quy định cụ thể số lượng các bước trong cây mỗi kỳ phiếu giảm giá. Số lượng lớn mang lại câu trả lời chính xác hơn | bdtbond Volatilitycurve required Curve of instantaneous yearly volatilities of the short curve is interpolated to cover the time span of the bond. required NCURVE2-by-1 vector of serial dates. required NCURVE2-by-1 vector of yearly volatilities in decimal form. Accuracy required Scalar that specifies the number of steps in the tree per coupon period. Larger numbers yield more accurate answers but require more time and memory. Creditcurve optional Curve of rate spreads arising from default risk. The curve has NCURVE3 date basis point curve is interpolated to cover the time span of the bond. CreditCurve .CurveDates required NCURVE3-by-1 vector of serial dates. CreditCurve .CreditRates required NCURVE3-by-1 vector of credit spread values in basis points not decimal rates . The effective change to the zero rate is CreditRates 10000. ComputeSensitivity optional Specify if bond sensitivity measures with and without options are to be computed. 1 indicates measure computed 0 indicates not computed. Sensitivities found by a finite difference calculation. The default is no sensitivities only prices returned. required scalar 1 or 0. required scalar 1 or 0. required scalar 1 or 0. 2-22 bdtbond Description Price Sensitivities DiscTree PriceTree bdtbond OptBond ZeroCurve VolatilityCurve Accuracy CreditCurve ComputeSensitivity computes price and sensitivity measuresofabond with embedded call or put options. Valuation is based on the Black-Derman-Toy model for pricing interest rate options given an input yield curve and possibly a credit spread and volatility curve. Price is the value of the bond with and without the options. Price. OptionFreePrice Scalar price of the bond without any options. Price. OptionEmbedPrice Scalar price value to the holder of the bond of the bond with options. Price. OptionValue scalar value of .