Financial Instruments Toolbox
![]() updated 21 days ago |
Modeling Yield Curve With Nelson & Siegel We try to modeling a DE data 2013. |
0 Comments 17 Downloads (30 Days) |
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Trinomial tree seaption pricing Swaption pricing function under the Hull-White lattice model. It allows finer grid. trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d... |
0 Comments 5 Downloads (30 Days) |
![]() updated 3 months ago |
Black1976 swaption pricing for a bespoke deal This function prices a swaption portfolio with any cash-low structure |
0 Comments 2 Downloads (30 Days) |
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This function plots the Hull-White tree structure |
0 Comments 3 Downloads (30 Days) |
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This function calibrates the Hull-White trinomial tree. |
0 Comments 5 Downloads (30 Days) |
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volatility to premium for swaptions (Black76 model) This function convert ATM volatility surface into swaption premiums and par rates. |
0 Comments 4 Downloads (30 Days) |
![]() updated 3 months ago |
Trinomial tree swaption pricing This function generates swaption prices under the Hull-White trinomial tree model. |
0 Comments 3 Downloads (30 Days) |