optemfloatbybdt
Price embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
Syntax
Description
[
prices embedded options on floating-rate notes from a Black-Derman-Toy interest rate tree.
Price
,PriceTree
]
= optemfloatbybdt(BDTTree
,Spread
,Settle
,Maturity
,OptSpec
,Strike
,ExerciseDates
)optemfloatbybdt
computes prices of vanilla floating-rate notes with
embedded options.
Note
Alternatively, you can use the OptionEmbeddedFloatBond
object to price embedded floating-rate bond option
instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
adds optional name-value pair arguments. Price
,PriceTree
]
= optemfloatbybdt(___,Name,Value
)