%% Compute the Price of American and European Call Options on a Floating-Rate Note
% Define the interest-rate term structure.

Rates = [0.03;0.034;0.038;0.04];
ValuationDate = 'Jan-1-2012';
StartDates = ValuationDate;
EndDates = {'Jan-1-2013'; 'Jan-1-2014'; 'Jan-1-2015'; 'Jan-1-2016'};
Compounding = 1;

%
% Create the RateSpec.

RateSpec = intenvset('ValuationDate', ValuationDate, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates, 'Compounding', Compounding)

%
% Build the HW tree using the following:

VolDates = ['1-Jan-2013'; '1-Jan-2014'; '1-Jan-2015';'1-Jan-2016'];
VolCurve = 0.01;
AlphaDates = '01-01-2016';
AlphaCurve = 0.1;

HWVolSpec = hwvolspec(RateSpec.ValuationDate, VolDates, VolCurve,... 
            AlphaDates, AlphaCurve);
HWTimeSpec = hwtimespec(RateSpec.ValuationDate, VolDates, Compounding);
HWT = hwtree(HWVolSpec, RateSpec, HWTimeSpec)

%
% The floater instrument has a spread of 10, a period of one year, and matures on Jan-1-2016.

Spread = 10;
Settle = 'Jan-1-2012';
Maturity =  'Jan-1-2016';
Period = 1;

%
% Define the option for the floating-rate note.

OptSpec = {'call'};
Strike = 95;
ExerciseDates = 'Jan-1-2016';
AmericanOpt = [0;1];

%
% Compute the price of the call options.

Price= optfloatbyhw(HWT,  OptSpec, Strike, ExerciseDates,AmericanOpt,...
Spread, Settle, Maturity)

% Copyright 2015 The MathWorks, Inc.