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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
opts
equations of the form option = value where option is optiontype; specify options for the BondOptionPrice command
Description
The BondOptionPrice command calculates the price of a zero-coupon bond option in the given affine interest rate model.
Options
optiontype = call or put; output type
Compatibility
The Finance[BondOptionPrice] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
Examples
See Also
Finance[CompoundFactor], Finance[DiscountBondPrice], Finance[DiscountFactor], Finance[HullWhiteModel], Finance[ImpliedRate], Finance[VasicekModel], Finance[ZeroCurve]
References
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
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