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Price Using Monte Carlo Simulation

Price cap, floor, and swaptions using Monte Carlo simulations with Hull-White, Linear Gaussian, and Libor Market Models

Classes

HullWhite1F Create Hull-White one-factor model
LinearGaussian2F Create two-factor additive Gaussian interest-rate model
LiborMarketModel Create LIBOR Market Model

Functions

capbylg2f Price cap using Linear Gaussian two-factor model
floorbylg2f Price floor using Linear Gaussian two-factor model
swaptionbylg2f Price European swaption using Linear Gaussian two-factor model
blackvolbyrebonato Compute Black volatility for LIBOR Market Model using Rebonato formula
hwcalbycap Calibrate Hull-White tree using caps
hwcalbyfloor Calibrate Hull-White tree using floors
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