calculate a discount bond price - Maple Help

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Finance[BondOptionPrice] - calculate a discount bond price

Calling Sequence

BondOptionPrice(model, strikes, maturity, bondmaturity, optiontype)

Parameters

model

-

affine one-factor model of interest rates

strikes

-

non-negative constant or a list of non-negative constants; strike price(s)

maturity

-

non-negative constant or a list of non-negative constants; time to maturity

bondmaturity

-

non-negative constant or a list of non-negative constants; time to maturity

opts

-

equations of the form option = value where option is optiontype; specify options for the BondOptionPrice command

Description

• 

The BondOptionPrice command calculates the price of a zero-coupon bond option in the given affine interest rate model.

Examples

withFinance:

M:=VasicekModel0.05,0.03,0.5,0.03

M:=moduleend module

(1)

BondOptionPriceM,0.5,5.0,20.0

0.

(2)

See Also

Finance[CompoundFactor], Finance[DiscountBondPrice], Finance[DiscountFactor], Finance[HullWhiteModel], Finance[ImpliedRate], Finance[VasicekModel], Finance[ZeroCurve]

References

  

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.


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