floorbyhw
Price floor instrument from Hull-White interest-rate tree
Syntax
Description
[
computes the price of a floor instrument from a Hull-White interest-rate tree.
Price
,PriceTree
]
= floorbyhw(HWTree
,Strike
,Settle
,Maturity
)capbyhw
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.