# optemfloatbycir

Price embedded option on floating-rate note for Cox-Ingersoll-Ross interest-rate tree

## Syntax

## Description

`[`

prices embedded options on floating-rate notes from a Cox-Ingersoll-Ross (CIR) interest
rate tree. `Price`

,`PriceTree`

]
= optemfloatbycir(`CIRTree`

,`Spread`

,`Settle`

,`Maturity`

,`OptSpec`

,`Strike`

,`ExerciseDates`

)`optemfloatbycir`

computes prices of vanilla floating-rate
notes with embedded options using a CIR++ model with the Nawalka-Beliaeva (NB) approach.

**Note**

Alternatively, you can use the `OptionEmbeddedFloatBond`

object to price embedded options on floating-rate
notes. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

`[`

adds optional name-value pair arguments. `Price`

,`PriceTree`

]
= optemfloatbycir(___,`Name,Value`

)

## Examples

## Input Arguments

## Output Arguments

## More About

## References

[1] Cox, J., Ingersoll, J., and S. Ross. "A Theory of the Term Structure of Interest
Rates." *Econometrica.* Vol. 53, 1985.

[2] Brigo, D. and F. Mercurio. *Interest Rate Models - Theory and
Practice.* Springer Finance, 2006.

[3] Hirsa, A. *Computational Methods in Finance.* CRC Press,
2012.

[4] Nawalka, S., Soto, G., and N. Beliaeva. *Dynamic Term Structure
Modeling.* Wiley, 2007.

[5] Nelson, D. and K. Ramaswamy. "Simple Binomial Processes as Diffusion
Approximations in Financial Models." *The Review of Financial Studies.*
Vol 3. 1990, pp. 393–430.

## Version History

**Introduced in R2018a**

## See Also

`bondbycir`

| `capbycir`

| `cfbycir`

| `fixedbycir`

| `floatbycir`

| `floorbycir`

| `oasbycir`

| `optbndbycir`

| `optfloatbycir`

| `optembndbycir`

| `rangefloatbycir`

| `swapbycir`

| `swaptionbycir`

| `instoptemfloat`