| Files Posted by Francesco Paolo |
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| 01 May 2013 |
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Trinomial tree seaption pricing Swaption pricing function under the Hull-White lattice model. It allows finer grid.
Author: Francesco Paolo Esposito |
finance |
3 |
0 |
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| 01 May 2013 |
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Black1976 swaption pricing for a bespoke deal This function prices a swaption portfolio with any cash-low structure
Author: Francesco Paolo Esposito |
finance |
3 |
0 |
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| 01 May 2013 |
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trinomial tree plot This function plots the Hull-White tree structure
Author: Francesco Paolo Esposito |
finance |
3 |
0 |
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| 01 May 2013 |
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Trinomial tree calibration This function calibrates the Hull-White trinomial tree.
Author: Francesco Paolo Esposito |
finance |
3 |
0 |
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| 01 May 2013 |
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volatility to premium for swaptions (Black76 model) This function convert ATM volatility surface into swaption premiums and par rates.
Author: Francesco Paolo Esposito |
finance |
3 |
0 |
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