Calibration and Simulation of Interest Rate Models in MATLAB

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Kevin Shea, MathWorks
Stuart Kozola, MathWorks

View calibration and simulation examples of interest rate models in MATLAB. Single factor and multifactor models are calibrated to both historical data and current market data using optimization solvers. Calibrated models are simulated and counterparty credit risk measures are computed for a portfolio of interest rate instruments.

Highlights include:

  • Calibration of single-factor and multifactor interest rate models to historical market data
  • Simulation of interest rate models for portfolios of instruments
  • Counterparty credit risk computation

About the Presenter: Kevin Shea is a Principal Software Engineer and Senior Team Lead for the Computational Finance Development team responsible for the development of financial instruments modeling and analysis functionality in MATLAB. He was previously a consultant at MathWorks where he worked primarily with customers in the financial services industry. He is a CFA® charterholder.

Product Focus

  • Financial Instruments Toolbox
  • Econometrics Toolbox

Recorded: 18 Mar 2014