captreegui: Plot a Cap Tree

Description Usage Details Value Author(s) References See Also

Description

Function to plot a Cap Tree

Usage

1

Details

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

Value

A plot of Cap Tree with user specified parameters.

Author(s)

S Subramanian <ssubramanian@sssihl.edu.in>

References

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

See Also

ratetreegui,floortreegui



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