Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes
Inverse Call Transformation to compute shadow rates
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To walk through the code and for a thorough description, refer to A. Meucci and A. Loregian, "Neither Normal not Lognormal: Modeling Interest Rates Across all Regimes", Financial Analysts Journal, Forthcoming (2015).
Latest version of article and code available at http://symmys.com/node/601
Cite As
Attilio Meucci (2026). Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes (https://www.mathworks.com/matlabcentral/fileexchange/44544-neither-normal-not-lognormal-modeling-interest-rates-across-all-regimes), MATLAB Central File Exchange. Retrieved .
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General Information
- Version 1.1.0.0 (337 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
