I use FLOATBYBDT from the Financial Derivatives Toolbox in the following code:
load derivSpread = 0;Settle = '01-Jan-2000';Maturity = '01-Jan-2003';[Price, PriceTree] = floatbybdt(BDTTree, Spread, Settle, Maturity);
Since the spread is 0, I expect the clean price at each node of the BDT tree to be 100. However, when I inspect the results:
PriceTree.PTree{3}
The resulting clean prices are not equal to 100:
ans = 1.0e+002 * 1.00912643712036 1.00361480744255 0.98816799382958
Best Answer