Negative rates in blsprice
2 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
Why is negative rates not allowed in function 'blsprice'?
0 Kommentare
Antworten (1)
Vineeth Kartha
am 18 Mär. 2016
Hi,
Negative rates are not allowed in BLSPRICE.
However, you can modify the function 'blscheck.m' called by BLSPRICE opening it in the MATLAB Editor by typing in the MATLAB Command Window:
>> edit blscheck
Then, commenting out the lines 66-69:
if any(Rate(:) < 0)
error(message('finance:blscheck:NegativeRiskFreeRate'));
end
will prevent the code from stopping when a negative rate is used in BLSPRICE.
Hope this helps.
Regards
Vineeth
Siehe auch
Kategorien
Mehr zu Price and Analyze Financial Instruments finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!