Main Content

Price options on floating-rate notes for Cox-Ingersoll-Ross interest-rate tree

`[`

prices options on floating-rate notes from a Cox-Ingersoll-Ross (CIR) interest-rate tree.
`Price`

,`PriceTree`

]
= optfloatbycir(`CIRTree`

,`OptSpec`

,`Strike`

,`ExerciseDates`

,`AmericanOpt`

,`Spread`

,`Settle`

,`Maturity`

)`optfloatbycir`

computes prices of options on vanilla floating-rate
notes using a CIR++ model with the Nawalka-Beliaeva (NB) approach.

`[`

adds optional name-value pair arguments. `Price`

,`PriceTree`

]
= optfloatbycir(___,`Name,Value`

)

[1] Cox, J., Ingersoll, J., and S. Ross. "A Theory of the Term Structure of Interest
Rates." *Econometrica.* Vol. 53, 1985.

[2] Brigo, D. and F. Mercurio. *Interest Rate Models - Theory and
Practice.* Springer Finance, 2006.

[3] Hirsa, A. *Computational Methods in Finance.* CRC Press,
2012.

[4] Nawalka, S., Soto, G., and N. Beliaeva. *Dynamic Term Structure
Modeling.* Wiley, 2007.

[5] Nelson, D. and K. Ramaswamy. "Simple Binomial Processes as Diffusion
Approximations in Financial Models." *The Review of Financial Studies.*
Vol 3. 1990, pp. 393–430.

`bondbycir`

| `capbycir`

| `cfbycir`

| `fixedbycir`

| `floatbycir`

| `floorbycir`

| `oasbycir`

| `optbndbycir`

| `optembndbycir`

| `optemfloatbycir`

| `rangefloatbycir`

| `swapbycir`

| `swaptionbycir`

| `instoptfloat`