Price floating-rate note from Cox-Ingersoll-Ross interest-rate tree

```
[Price,PriceTree]
= floatbycir(CIRTree,Spread,Settle,Maturity)
```

```
[Price,PriceTree]
= floatbycir(___,Name,Value)
```

`[`

prices a floating-rate note from a Cox-Ingersoll-Ross (CIR) interest-rate tree. `Price`

,`PriceTree`

]
= floatbycir(`CIRTree`

,`Spread`

,`Settle`

,`Maturity`

)

`floatbycir`

computes prices of vanilla floating-rate notes,
amortizing floating-rate notes, capped floating-rate notes, floored floating-rate notes,
and collared floating-rate notes using a CIR++ model with the Nawalka-Beliaeva (NB)
approach.

`[`

adds additional name-value pair arguments.`Price`

,`PriceTree`

]
= floatbycir(___,`Name,Value`

)

[1] Cox, J., Ingersoll, J.,and S. Ross. "A Theory of the Term Structure of Interest
Rates." *Econometrica.* Vol. 53, 1985.

[2] Brigo, D. and F. Mercurio. *Interest Rate Models - Theory and
Practice.* Springer Finance, 2006.

[3] Hirsa, A. *Computational Methods in Finance.* CRC Press,
2012.

[4] Nawalka, S., Soto, G., and N. Beliaeva. *Dynamic Term Structure
Modeling.* Wiley, 2007.

[5] Nelson, D. and K. Ramaswamy. "Simple Binomial Processes as Diffusion
Approximations in Financial Models." *The Review of Financial Studies.*
Vol 3. 1990, pp. 393–430.

`bondbycir`

| `capbycir`

| `cfbycir`

| `fixedbycir`

| `floorbycir`

| `instfloat`

| `oasbycir`

| `optbndbycir`

| `optembndbycir`

| `optemfloatbycir`

| `optfloatbycir`

| `rangefloatbycir`

| `swapbycir`

| `swaptionbycir`