fpexp2

Active since 2013

Followers: 0 Following: 0

Message

Submitted

Trinomial tree swaption pricing
Swaption pricing function under the Hull-White lattice model. It allows finer grid.

9 years ago | 1 download |

Submitted

Black1976 swaption pricing for a bespoke deal
This function prices a swaption portfolio with any cash-low structure

11 years ago | 1 download |

Submitted

trinomial tree plot
This function plots the Hull-White tree structure

11 years ago | 1 download |

Submitted

Trinomial tree calibration
This function calibrates the Hull-White trinomial tree.

11 years ago | 1 download |

Submitted

volatility to premium for swaptions (Black76 model)
This function convert ATM volatility surface into swaption premiums and par rates.

11 years ago | 1 download |

Submitted

Trinomial tree swaption pricing
This function generates swaption prices under the Hull-White trinomial tree model.

11 years ago | 1 download |

First Submission