hwcalbyfloor - Calibrate Hull-White tree using floors

RateSpec

The annualized, continuously compounded rate term structure. For more information, see intenvset.

MarketStrike

NSTRIKES-by-1 vector of market floorlet strikes as a decimal number.

MarketMaturity

NMATS-by-1 vector of market floorlet maturity dates.

MarketVolatility

NSTRIKES-by-NMATS matrix of market flat volatilities.

Strike

Scalar representing the rate at which the floor is exercised, as a decimal number.

Settle

Scalar representing the settle date of the floor.

Maturity

Scalar representing the maturity date of the floor.

Reset

(Optional) Scalar representing the frequency of payments per year. Default is 1.

Principal

(Optional) Scalar representing the notional principal amount. Default is 100.

Basis

NINST-by-1 vector representing the basis used when annualizing the input forward rate.

• 0 = actual/actual (default)

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ISMA)

• 9 = actual/360 (ISMA)

• 10 = actual/365 (ISMA)

• 11 = 30/360E (ISMA)

• 12 = actual/365 (ISDA)

ValuationDate

(Optional) Scalar representing the observation date of the investment horizons. The default is the Settle date.

LB

(Optional) 2-by-1 vector of the lower bounds, defined as [LBSigma; LBAlpha], used in the search algorithm function. Default is LB =[0;0]. For more information, see lsqnonlin.

UB

(Optional) 2-by-1 vector of the upper bounds, defined as [UBSigma; LBAlpha], used in the search algorithm function. Default is UB =[ ](unbound). For more information, see lsqnonlin.

X0

(Optional) 2-by-1 vector of the initial values, defined as [Sigma0; Alpha0], used in the search algorithm function. Default is X0 = [0.5;0.5]. For more information, see lsqnonlin.

OptimOptions

(Optional) Structure with optimization parameters. For more information, see optimset.