Rank: 1262 based on 113 downloads (last 30 days) and 6 files submitted
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Francesco Paolo Esposito

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Dublin City University

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01 May 2013 Trinomial tree seaption pricing Swaption pricing function under the Hull-White lattice model. It allows finer grid. Author: Francesco Paolo Esposito finance 20 0
01 May 2013 Black1976 swaption pricing for a bespoke deal This function prices a swaption portfolio with any cash-low structure Author: Francesco Paolo Esposito finance 17 0
01 May 2013 trinomial tree plot This function plots the Hull-White tree structure Author: Francesco Paolo Esposito finance 20 0
01 May 2013 Trinomial tree calibration This function calibrates the Hull-White trinomial tree. Author: Francesco Paolo Esposito finance 23 0
01 May 2013 volatility to premium for swaptions (Black76 model) This function convert ATM volatility surface into swaption premiums and par rates. Author: Francesco Paolo Esposito finance 16 0

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