Price swaption from HeathJarrowMorton interestrate tree
[Price, PriceTree] = swaptionbyhjm(HJMTree,
OptSpec, Strike,
ExerciseDates, Spread, Settle, Maturity,
'Name1', Value1, 'Name2', Value2)
 Interestrate tree structure created by  

 

 
 For a European option: For an American option:  

 

 

 
 
 (Optional)
 
 (Optional)  
 (Optional) Daycount basis of the instrument. A vector of integers.
For more information, see basis.  
 (Optional)  
 (Optional) Derivatives pricing options structure created
with 
[Price, PriceTree] = swaptionbyhjm(HJMTree,
OptSpec, Strike,
computes the
price of a swaption from an HJM interestrate tree.
ExerciseDates, Spread, Settle, Maturity,
'Name1', Value1, 'Name2', Value2)
Note:
The 
The swaption may be a call swaption or a put swaption.
A call swaption or payer swaption allows the option buyer to enter into an interest rate swap in which the buyer of the option pays the fixed rate and receives the floating rate.
A put swaption or receiver swaption allows the option buyer to enter into an interest rate swap in which the buyer of the option receives the fixed rate and pays the floating rate.
Price
is a (NINST
by1
vector
of expected swaption prices at time 0.
PriceTree
is a MATLAB^{®} structure of trees
containing vectors of swaption instrument prices and a vector of observation
times for each node. Within PriceTree
:
PriceTree.PTree
contains the clean
prices.
PriceTree.tObs
contains the observation
times.