floatbycir
Price floating-rate note from Cox-Ingersoll-Ross interest-rate tree
Syntax
Description
[
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.
Note
Alternatively, you can use the FloatBond
object to
price floating-rate note instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
adds additional name-value pair arguments.Price
,PriceTree
]
= floatbycir(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[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.
Version History
Introduced in R2018aSee Also
bondbycir
| capbycir
| cfbycir
| fixedbycir
| floorbycir
| oasbycir
| optbndbycir
| optfloatbycir
| optembndbycir
| optemfloatbycir
| rangefloatbycir
| swapbycir
| swaptionbycir
| instfloat