Visualization Of Terminal Correlation in Short Rate Models

Version 6.0.0.0 (877 KB) by Vilen Abramov
In this script we will produce a number of visuals for the simulated rates when using HW model.
5.0
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Updated 14 Feb 2018

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In this script we will produce a number of visuals for the simulated rates when using HW model.

Cite As

Vilen Abramov (2024). Visualization Of Terminal Correlation in Short Rate Models (https://www.mathworks.com/matlabcentral/fileexchange/65830-visualization-of-terminal-correlation-in-short-rate-models), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
6.0.0.0

Updated graphs
Added 3D plots for the Tenor and As of Time slices.
5.0.0.0

Adding files.
4.0.0.0

Title change
Adding a picture.
3.0.0.0

Changing to the example format.
2.0.0.0

This script contains a visual of two surfaces, confirming that the surfaces may cross along the Tenor axis.
1.0.0.0