bkfloorlet

Price interest-rate floorlet using Black model

bkfloorlet has been removed. Use floorbyblk instead.

Syntax

FloorPrices = bkfloorlet(FloorData,FwdRates,ZeroPrice,Settle,StartDate,EndDate,Sigma)

Arguments

FloorData	Number of floors (NFLR)-by-2 matrix containing floor rates and bases: [FloorRate Basis]. Values for bases are: 0 = actual/actual (default) 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (BMA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ICMA) 9 = actual/360 (ICMA) 10 = actual/365 (ICMA) 11 = 30/360E (ICMA) 12 = actual/365 (ISDA) 13 = BUS/252 For more information, see Basis.
FwdRates	Scalar or NFLR-by-1 vector containing forward rates in decimal. FwdRates accrue on the same basis as FloorRates.
ZeroPrice	Scalar or NFLR-by-1 vector containing zero coupon prices with maturities corresponding to those of each floor in FloorData, per $100 nominal value.
Settle	Scalar or NFLR-by-1 vector of identical elements containing settlement date of floorlets.
StartDate	Scalar or NFLR-by-1 vector containing start dates of the floorlets.
EndDate	Scalar or NFLR-by-1 vector containing maturity dates of floorlets.
Sigma	Scalar or NFLR-by-1 vector containing volatility of forward rates in decimal, corresponding to each floorlet.

Description

FloorPrices = bkfloorlet(FloorData,FwdRates,ZeroPrice,Settle,StartDate,EndDate,Sigma) computes the prices of interest-rate floorlets for every $100 of notional value.

Examples

Price an Interest-Rate Floorlet For Every $100 of Notional Value Using the Black Model

This example shows how to price an interest-rate floorlet for every $100 of notional value using the Black model. Given a notional amount of $1,000,000, compute the value of a floorlet on October 15, 2002 that starts on October 15, 2003 and ends on January 15, 2004.

FloorData = [0.08, 1];
FwdRates = 0.07;
ZeroPrice = 100*exp(-0.065*1.25);
Settle = datenum('15-Oct-2002');
BeginDates = datenum('15-Oct-2003');
EndDates = datenum('15-Jan-2004');
Sigma = 0.20;

% because floorlet is $100 notional, divide $1,000,000 by $100
Notional = 1000000/100;

FloorPrice = Notional*bkfloorlet(FloorData, FwdRates, ...
ZeroPrice, Settle, BeginDates, EndDates, Sigma)

Error using bkfloorlet (line 115)
BKFLOORLET has been removed. Use FLOORBYBLK instead.