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.
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 LinuxCategories
- Computational Finance > Financial Toolbox > Price and Analyze Financial Instruments >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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Callable bonds/
Version | Published | Release Notes | |
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1.0.0.0 |