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
Price Bermudan swaptions using interest-rate models in Financial Instruments Toolbox™. Specifically, a Hull-White one factor model, a Linear Gaussian two-factor model, and a LIBOR
Illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.
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)
Price a swaption using the SABR model. First, a swaption volatility surface is constructed from market volatilities. This is done by calibrating the SABR model parameters separately for
Hedge the interest-rate risk of a portfolio using bond futures.