Note: This page has been translated by MathWorks. Please click here

To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

Price range floating note using Black-Derman-Toy tree

```
[Price,PriceTree]
= rangefloatbybdt(BDTTree,Spread,Settle,Maturity,RateSched)
```

```
[Price,PriceTree]
= rangefloatbybdt(___,Name,Value)
```

`[`

prices
range floating note using a Black-Derman-Toy tree.`Price`

,`PriceTree`

]
= rangefloatbybdt(`BDTTree`

,`Spread`

,`Settle`

,`Maturity`

,`RateSched`

)

Payments on range floating notes are determined by the effective interest-rate between reset dates. If the reset period for a range spans more than one tree level, calculating the payment becomes impossible due to the recombining nature of the tree. That is, the tree path connecting the two consecutive reset dates cannot be uniquely determined because there is more than one possible path for connecting the two payment dates.

`[`

adds optional name-value pair arguments.`Price`

,`PriceTree`

]
= rangefloatbybdt(___,`Name,Value`

)

[1] Jarrow, Robert. “Modelling Fixed Income Securities and
Interest Rate Options.” *Stanford Economics and Finance.* 2nd
Edition. 2002.

`bdttree`

| `bondbybdt`

| `cfbybdt`

| `fixedbybdt`

| `floatbybdt`

| `floorbybdt`

| `instrangefloat`

| `rangefloatbybk`

| `rangefloatbyhjm`

| `rangefloatbyhw`

| `swapbybdt`

Was this topic helpful?