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capbybk
Price cap instrument from Black-Karasinski interest-rate tree
Syntax
Description
[
computes the price of a cap instrument from a Black-Karasinski interest-rate tree.
Price
,PriceTree
]
= capbybk(BKTree
,Strike
,Settle
,Maturity
)capbybk
computes prices of vanilla caps and amortizing caps.
Note
Alternatively, you can use the Cap
object to price cap
instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.