Tuesday 15 April 2014

finance - Cbprice syntax (migrating from Excel to matlab) -


I want to use convertible binding on the matte, but I have trouble connecting it with the results from the spreadsheet It's been done by This is primarily a cbprice syntax question, I think. For example, let's evaluate the Intel 2.95 2035 bond using input in the lower part of this question.
Bond is currently trading around 112.
Pluging in Excel spreadsheets, I get around 106. very good.

Now, I want to compute the same using the matab:

 % CbMatrix = cbprice (RiskFreeRate, StaticSpread, sigma, value, conversion, ...% NumSteps, IssueDate, Settle, Maturity, CouponRate) & gt; & Gt; CBMTrix = CBP (0.03, 0.00575, 0.236, 24.4 9, 34.24, ... 100, '30 -March-2006 ', '20 -June-2015', '15-DC-2035 ', 0.0295); & Gt; & Gt; Disp (CBMTrix (1, 1) * 0.1) 88.3347   

I did not know why I should give dividend yield to cbprice , but spreadsheet comparison For the price of 132 near zero price for yield.

I hope that a number will be less than 100 at least 110.
How do I reproduce the calculation using cbprice ?


Spreadsheet input: Bond information: Share information: Pricing information Pricing date: 6/20/2013 Current price: 24.49 Risk free rate: 0.03 Maturity Date: 12/15/2035 Dividend Yield: 0.0453 Credit Spread: 0.00575 Face Value: 1000 Volatility: 0.236 Number of Steps: 100 Conversion Ratio: 34.24 Coupon (%): 2.95 Frequency: 2 < / Div>

Communicating with Metlab people, he clarified that the band The uses of $ 100 face value. The conversion ratio needs to be adjusted accordingly.
Dividend yield is also specified in the last two lines of applicants.

 % CbMatrix = cbprice (RiskFreeRate, Static Spread, Sigma, Value, ...% conversion, ... numbersteps, issue issue, settling, maturity, coupon, ...) Gt; & Gt; CbMatrix = cbprice (0.03, 0.00575, 0.236, 24.49, ... 34.24 * 100/1000, ...% 100 changed here, '30 -March-2006 ', '20 -June-2015', '15 -Dec - 2035 ', 0.0295, ...' Dividend Type ', 2, ...' Dividend Info ', [Daytonam ('20 -June-013') 0.0453]); & Gt; & Gt; CBMTrix (1,1) ans = 107.3614    

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