Determine option adjusted spread using Cox-Ingersoll-Ross model
[
calculates the option adjusted spread from a Cox-Ingersoll-Ross (CIR) interest-rate tree
using a CIR++ model with the Nawalka-Beliaeva (NB) approach.OAS
,OAD
,OAC
]
= oasbycir(CIRTree
,Price
,CouponRate
,Settle
,Maturity
,OptSpec
,Strike
,ExerciseDates
)
oasbycir
computes prices of vanilla bonds with embedded options,
stepped coupon bonds with embedded options, amortizing bonds with embedded options, and
sinking fund bonds with embedded option. For more information, see More About.
[
adds optional name-value pair arguments.OAS
,OAD
,OAC
]
= oasbycir(___,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
| optbndbycir
| optembndbycir
| optemfloatbycir
| optfloatbycir
| rangefloatbycir
| swapbycir
| swaptionbycir