5.75 option_bond_hw

Function File: [value] = option_bond_hw (value_type,bond,curve,callschedule,putschedule)

Compute the value of a put or call bond option using Hull-White Tree model.

This script is a wrapper for the function pricing_callable_bond_cpp and handles all input and ouput data. Input data: value type, bond instrument, curve instrument, call and put schedule. References:

• Hull, Options, Futures and other derivatives, 7th Edition

See also: pricing_callable_bond_cpp.