world. We also made mention of the put-call parity between Caps and Floors. Finally, we construct the binomial tree that can be used to value Caps as a number of caplets and Floors as a number of floorlets using MATLAM. The MATLAB code can be found in the appendix. Appendix MATLAB Code – function value = AnaliticalFinance2Project(k,pr,N,t,T,type,vol,InterestRate) period=T/t; nodes=0; display('volatility:');
world. We also made mention of the put-call parity between Caps and Floors. Finally, we construct the binomial tree that can be used to value Caps as a number of caplets and Floors as a number of floorlets using MATLAM. The MATLAB code can be found in the appendix. Appendix – MATLAB Code function value = AnaliticalFinance2Project(k,pr,N,t,T,type,vol,InterestRate) period=T/t; nodes=0; display('volatility:');
CapsFloors.docx