Interest rate model

Version 1.0.0.0 (1.52 KB) by Sandeep
Hull and White interest rate model
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3.2K Downloads
Updated 16 Jul 2007

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This model implements Hull-White single factor interest rate model based on the paper published by the duo in 1994. The code currently is written to deal with 3 step symmetric tree structure. However, it can further be modified to incorporate time varying two-factor asymmetric tree structure and implement both, Hull-White and Black-Karasinski models easily.

Cite As

Sandeep (2024). Interest rate model (https://www.mathworks.com/matlabcentral/fileexchange/15591-interest-rate-model), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0.0