Code covered by the BSD License  

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video

Highlights from
Trinomial tree swaption pricing

Trinomial tree swaption pricing

by

 

01 May 2013 (Updated )

Swaption pricing function under the Hull-White lattice model. It allows finer grid.

trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d_aug)

Contact us