 BondOptionPrice - Maple Help

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 Options

 • optiontype = call or put; output type Description

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

 > $\mathrm{with}\left(\mathrm{Finance}\right):$
 > $M≔\mathrm{VasicekModel}\left(0.05,0.03,0.5,0.03\right)$
 ${M}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (1)
 > $\mathrm{BondOptionPrice}\left(M,0.5,5.0,20.0\right)$
 ${0.}$ (2) References

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

 • The Finance[BondOptionPrice] command was introduced in Maple 15.