Description Usage Details Value Author(s) References See Also

Function to plot a Cap Tree

1 |

The user inputs are as follows:

Face Value: to be entered in numbers for e.g. 120.50

Strike: to be entered in numbers for e.g. 110.50

Rate per annum: to be entered in percent. For e.g. enter 5.0 for 5 percent

u: up move factor- to be entered in decimals. For e.g. 1.25

d: down move factor- to be entered in decimals. For e.g. 0.80

q: probability of up move- to be entered in decimals. For e.g. 0.60

Coupon: to be entered in percent. For e.g. enter 5.0 for 5 percent

Cap Maturity: Clicking on the '+' and '-' respectively increases and decreases the value.

Plot type: chosen between Cap tree / Rate tree

A plot of Cap Tree with user specified parameters.

S Subramanian <ssubramanian@sssihl.edu.in>

David G. Luenberger, "Investment Science", 2/E, Oxford University Press, 2013.

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