Pricing software of Semi-american callable bonds

Version 1.0.0.0 (4.89 KB) by Allan Jonathan
This is a pricing software that calculates the price of Semi-american callable bonds.
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Updated 23 Feb 2016

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This files provide a range of prices of callable bonds assuming interest rates follow the Vasicek model. It is assumed discrete notice dates to call the bond. To this end, a PDE is solved with the Modified Full-Implicit finite difference method.

Cite As

Allan Jonathan (2024). Pricing software of Semi-american callable bonds (https://www.mathworks.com/matlabcentral/fileexchange/55611-pricing-software-of-semi-american-callable-bonds), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R12
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Callable bonds/

Version Published Release Notes
1.0.0.0