bkcaplet

Price interest-rate caplet using Black model

bkcaplet has been removed. Use capbyblk instead.

Syntax

CapPrices = bkcaplet(CapData,FwdRates,ZeroPrice,Settle,StartDate,EndDate,Sigma)

Arguments

CapData	Number of caps (NCAP)-by-2 matrix containing cap rates and bases: [CapRates Basis]. Values for bases are: 0 = actual/actual (default) 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (BMA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ICMA) 9 = actual/360 (ICMA) 10 = actual/365 (ICMA) 11 = 30/360E (ICMA) 12 = actual/365 (ISDA) 13 = BUS/252 For more information, see Basis.
FwdRates	Scalar or NCAP-by-1 vector containing forward rates in decimal. FwdRates accrue on the same basis as CapRates.
ZeroPrice	Scalar or NCAP-by-1 vector containing zero coupon prices with maturities corresponding to those of each cap in CapData, per $100 nominal value.
Settle	Scalar or NCAP-by-1 vector of identical elements containing settlement date of caplets.
StartDate	Scalar or NCAP-by-1 vector containing start dates of the caplets.
EndDate	Scalar or NCAP-by-1 vector containing maturity dates of caplets.
Sigma	Scalar or NCAP-by-1 vector containing volatility of forward rates in decimal, corresponding to each caplet.

Description

CapPrices = bkcaplet(CapData,FwdRates,ZeroPrice,Settle,StartDate,EndDate,Sigma) computes the prices of interest-rate caplets for every $100 face value of principal.

Examples

Compute the Price of Interest-Rate Caplets for Every $100 Face Value of Principal

This example shows how to compute the price of interest-rate caplets for every $100 face value of principal. Given a notional amount of $1,000,000, compute the value of a caplet on October 15, 2002 that starts on October 15, 2003 and ends on January 15, 2004.

CapData = [0.08, 1];
FwdRates = 0.07;
ZeroPrice = 100*exp(-0.065*1.25);
Settle = datenum('15-Oct-2002');
BeginDates = datenum('15-Oct-2003');
EndDates = datenum('15-Jan-2004');
Sigma = 0.20;

% because the caplet is $100 notional, divide $1,000,000 by $100
Notional   = 1000000/100;

CapPrice = Notional*bkcaplet(CapData, FwdRates, ZeroPrice, ...
Settle, BeginDates, EndDates, Sigma)

Error using bkcaplet (line 117)
BKCAPLET has been removed. Use CAPBYBLK instead.