calculate a discount bond price
BondOptionPrice(model, strikes, maturity, bondmaturity, optiontype)
affine one-factor model of interest rates
non-negative constant or a list of non-negative constants; strike price(s)
non-negative constant or a list of non-negative constants; time to maturity
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.
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.
Download Help Document
What kind of issue would you like to report? (Optional)