I am using the function FLOATBYBK to price Floating-Rate Notes (FRN) using the Black-Karasinski interest-rate tree. I choose a value of '4' for the parameter 'Reset' and I obtain the following error messages:
Warning: Not all cash flows are aligned with the tree. Result will be approximated. > In floatengbytrintree at 214 In floatbybk at 136 Error using floatengbytrintree (line 319) Instrument '1 ' has cash flow dates that span across tree nodes. Error in floatbybk (line 136) [Price, PriceTree, CFTree] = floatengbytrintree(BKTree, Spread, Settle, Maturity, OArgs{:});
What is the cause of this error? And How can it be addressed?
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