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