Pricing Derivatives
by Kas Sharma
18 Dec 2003
(Updated 23 Dec 2003)
Ilustrates how to price an instrument portfolio.
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| File Information |
| Description |
This demo shows Excel Link and the Financial Derivatives Toolbox. Inside Excel, there is a portfolio consisting of three bonds with different coupon rates and maturities, and a European call option on the 6% Bond. There is also an initial forward curve and volatility.
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Directions:
? Open the HJMBDTdemos.xls file.
? Push the input buttons. This exports the Portfolio Data, Forward Curve, and Sigma to MATLAB
? Price the Portfolio with ?Calculate Price? button
? View the price evolution of each one of the instruments in the portfolio using the ?View Price Tree? button.
? Repeat the same procedure with the second sheet that uses BDT algorithm. |
| Required Products |
Spreadsheet Link EX
Financial Derivatives Toolbox
Financial Toolbox
Optimization Toolbox
Statistics Toolbox
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| MATLAB release |
MATLAB 6.5 (R13)
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| Comments and Ratings (2) |
| 14 Jan 2004 |
tsai shin-chian
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| 22 Oct 2006 |
Bhaskkar Sinha
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