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Finance[BondOptionPrice] - calculate a discount bond price
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Calling Sequence
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BondOptionPrice(model, strikes, maturity, bondmaturity, optiontype)
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Parameters
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model
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affine one-factor model of interest rates
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strikes
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non-negative constant or a list of non-negative constants; strike price(s)
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maturity
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non-negative constant or a list of non-negative constants; time to maturity
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bondmaturity
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non-negative constant or a list of non-negative constants; time to maturity
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opts
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equations of the form option = value where option is optiontype; specify options for the BondOptionPrice command
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Description
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The BondOptionPrice command calculates the price of a zero-coupon bond option in the given affine interest rate model.
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Options
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optiontype = call or put; output type
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Compatibility
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The Finance[BondOptionPrice] command was introduced in Maple 15.
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References
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Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
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