Compute the unilateral credit value (valuation) adjustment (CVA) for a bank holding a portfolio of vanilla interest rate swaps with several counterparties. CVA is the expected loss on an
Simulate electricity prices using a mean-reverting model with seasonality and a jump component. The model is calibrated under the real-world probability using historical electricity
Different hedging strategies to minimize exposure in the Energy market using Crack Spread Options.
Price a swing option using a Monte Carlo simulation and the Longstaff-Schwartz method. A risk-neutral simulation of the underlying natural gas price is conducted using a mean-reverting
Price a European Asian option using six methods in the Financial Instruments Toolbox™. This example demonstrates four closed form approximations (Kemna-Vorst, Levy, Turnbull-Wakeman,
Bootstrap an interest-rate curve, often referred to as a swap curve, using the IRDataCurve object. The static bootstrap method takes as inputs a cell array of market instruments (which can
Construct a Diebold Li model of the US yield curve for each month from 1990 to 2010. This example also demonstrates how to forecast future yield curves by fitting an autoregressive model to the
Use objects to model the term structure of interest rates (also referred to as the yield curve). This can be contrasted with modeling the term structure with vectors of dates and data and
Use ZeroRates for a zero curve that is hard-coded. You can also create a zero curve by bootstrapping the zero curve from market data (for example, deposits, futures/forwards, and swaps)
Illustrates how MATLAB® can be used to create a portfolio of interest-rate derivatives securities, and price it using the Black-Karasinski interest-rate model. The example also shows
Illustrates how the Financial Toolbox™ and Financial Instruments Toolbox™ are used to price a level mortgage backed security using the BDT model.
Illustrates how the Financial Instruments Toolbox™ is used to price European vanilla call options using different equity models.
Use hwcalbycap to calibrate market data with the Normal (Bachelier) model to price caplets. Use the Normal (Bachelier) model to perform calibrations when working with negative interest
Price swaptions with negative strikes by using the Shifted SABR model. The market Shifted Black volatilities are used to calibrate the Shifted SABR model parameters. The calibrated
In this script we will produce a number of visuals for the simulated rates when using HW model.