I have a cash flow date that falls between two tree nodes and I would like to know what interpolation method the BDTPRICE function is using in this case.
MATLAB: What is the interpolation method used in the BDTPRICE function in the Financial Derivatives Toolbox 3.0.1 (R14SP1) when the cash flow date falls between two tree nodes
bdtpricecashFinancial Derivatives Toolboxflowinterpolation
Related Question
- Black Derman Toy model tree error
- Is there any additional information available about the derivative price inputs to the Black-Scholes functions in the Financial Toolbox
- Difference in values obtained from BNDYIELD in MATLAB and YIELD in EXCEL
- How to get more information on method used for the calculation of discount factors for FIXEDBYZERO function in Financial Derivatives Toolbox R2007b (5.1)
- What does the first cash flow value signify when I calculate the cash flows for a bond using cfamounts function in Financial Toolbox 4.1 (R2011b)
- Do I receive unexpected results using the DISC2RATE function in Financial Derivatives Toolbox 4.0.2 (R2007a)
- How does library management system using matlab gui works
- Is there a function or method for interest rate swaption evaluation
Best Answer