Finance
BondOptionPrice
calculate a discount bond price
Calling Sequence
Parameters
Options
Description
Examples
References
Compatibility
BondOptionPrice(model, strikes, maturity, bondmaturity, optiontype)
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
opts
equations of the form option = value where option is optiontype; specify options for the BondOptionPrice command
optiontype = call or put; output type
The BondOptionPrice command calculates the price of a zero-coupon bond option in the given affine interest rate model.
withFinance:
M≔VasicekModel0.05,0.03,0.5,0.03
M ≔ moduleend module
BondOptionPriceM,0.5,5.0,20.0
0.
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
The Finance[BondOptionPrice] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15 .
See Also
Finance[CompoundFactor]
Finance[DiscountBondPrice]
Finance[DiscountFactor]
Finance[HullWhiteModel]
Finance[ImpliedRate]
Finance[VasicekModel]
Finance[ZeroCurve]
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