Function to plot a Swap Tree
The user inputs are as follows:
Face Value: to be entered in numbers for e.g. 120.50
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
Fixed Rate: to be entered in percent. For e.g. 4.5 for 4.5 percent
Swap Maturity: Clicking on the '+' and '-' respectively increases and decreases the value.
Plot type: chosen between Swap tree / Rate tree
A plot of Swap Tree with user specified parameters.
S Subramanian <[email protected]>
David G. Luenberger, "Investment Science", 2/E, Oxford University Press, 2013.
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