Negative rates in blsprice
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Why is negative rates not allowed in function 'blsprice'?
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Vineeth Kartha
il 18 Mar 2016
Hi,
Negative rates are not allowed in BLSPRICE.
However, you can modify the function 'blscheck.m' called by BLSPRICE opening it in the MATLAB Editor by typing in the MATLAB Command Window:
>> edit blscheck
Then, commenting out the lines 66-69:
if any(Rate(:) < 0)
error(message('finance:blscheck:NegativeRiskFreeRate'));
end
will prevent the code from stopping when a negative rate is used in BLSPRICE.
Hope this helps.
Regards
Vineeth
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