Swaption pricing function under the Hull-White lattice model. It allows finer grid.
1 year ago
This function calibrates the Hull-White trinomial tree.
3 years ago
This function prices a swaption portfolio with any cash-low structure
This function generates swaption prices under the Hull-White trinomial tree model.
This function plots the Hull-White tree structure
This function convert ATM volatility surface into swaption premiums and par rates.
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