Price options on floating-rate notes for Black-Derman-Toy interest-rate tree
[
prices options on floating-rate notes from a Black-Derman-Toy interest rate tree.
Price
,PriceTree
]
= optfloatbybdt(BDTTree
,OptSpec
,Strike
,ExerciseDates
,AmericanOpt
,Spread
,Settle
,Maturity
)optfloatbybdt
computes prices of options on vanilla floating-rate
notes.
[
adds optional name-value pair arguments. Price
,PriceTree
]
= optfloatbybdt(___,Name,Value
)
bdttree
| bondbybdt
| capbybdt
| cfbybdt
| floatbybdt
| floorbybdt
| instoptfloat
| swapbybdt