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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

Using Objects

LiborMarketModelCreate LIBOR Market Model
LinearGaussian2FCreate two-factor additive Gaussian interest-rate model
HullWhite1FCreate Hull-White one-factor model

Functions

simTermStructsSimulate term structures for LIBOR Market Model
simTermStructsSimulate term structures for two-factor additive Gaussian interest-rate model
simTermStructsSimulate term structures for Hull-White one-factor model
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
hwcalbycapCalibrate Hull-White tree using caps
hwcalbyfloorCalibrate Hull-White tree using floors

Topics

Price Swaptions with Interest-Rate Models Using Simulation

This example shows how to price European swaptions using interest-rate models in Financial Instruments Toolbox™.

Pricing Bermudan Swaptions with Monte Carlo Simulation

This example shows how to price Bermudan swaptions using interest-rate models in Financial Instruments Toolbox™.

Calibrating Caplets Using the Normal (Bachelier) Model

This example shows how to use hwcalbycap to calibrate market data with the Normal (Bachelier) model to price caplets.

Calibrating Floorlets Using the Normal (Bachelier) Model

This example shows how to use hwcalbyfloor to calibrate market data with the Normal (Bachelier) model to price floorlets.

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