optiontype = call or put; output type

The BondOptionPrice command calculates the price of a zero-coupon bond option in the given affine interest rate model.

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$M≔\mathrm{VasicekModel}\left(0.05\,0.03\,0.5\,0.03\right)$

$M≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{BondOptionPrice}\left(M\,0.5\,5.0\,20.0\right)$

$0.$

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.

The Finance[BondOptionPrice] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.