Trinomial tree calibration
This function calibrates the Hull-White trinomial tree. to the swaption premiums implied by the swaption market (Black's) market volatility matrix.
% This function produces the calibrated parameters for the HW model in the extended Vasicek specification.
% The reference basket is assumed to be the ATM swaption volatility matrix (Black76 model).
% The Volatility surface matrix V is assumed to be 10y X 10y of Expiry X Maturity.
% The model parameter vector a contains the levels of a straight line volatility function
% ranging from 0 to 20y. The mean reversion parameters is held constant across the time domain.
%
% input
% Curve : interest rate curve object
% V : volatility matrix
% Period : frequency of payments of the underlying swaps
% coin : initial condition for the model parameters
Cite As
fpexp2 (2024). Trinomial tree calibration (https://www.mathworks.com/matlabcentral/fileexchange/41565-trinomial-tree-calibration), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Yield Curves >
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
Version | Published | Release Notes | |
---|---|---|---|
1.0.0.0 |