Change Volatility in the blsprice function

3 views (last 30 days)
Marianna
Marianna on 8 Aug 2013
I want to change the Volatility in the blsprice function. I wrote the code below, but I do not get to see the time series of the Call for the different Volatility values. Anyone that can help?
Rate=0.0201; Floor=0.03; Volatility= 0.2; T=[0:15]; df=exp(-Rate*T); FwdRate=(df(2:end-1)./df(3:end)-1);
Voly = 0.01:0.01:0.05 ;
for j=1:length(Voly) [Call] = blsprice(FwdRate, Floor, 0, T(2:end-1), Volatility+Voly(j)); end if true % code end

Answers (0)

Categories

Find more on Downloads in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!