Negative rates in blsprice

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Esbjörn Edwardsson
评论： Saurabh Roy 2021-6-19
Why is negative rates not allowed in function 'blsprice'?

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回答（1 个）

Vineeth Kartha
Vineeth Kartha 2016-3-18
Hi,
Negative rates are not allowed in BLSPRICE.
However, you can modify the function 'blscheck.m' called by BLSPRICE opening it in the MATLAB Editor by typing in the MATLAB Command Window:
>> edit blscheck
Then, commenting out the lines 66-69:
if any(Rate(:) < 0)
error(message('finance:blscheck:NegativeRiskFreeRate'));
end
will prevent the code from stopping when a negative rate is used in BLSPRICE.
Hope this helps.
Regards
Vineeth

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