Rebonato approximation formula for calibration of LIBOR Market Model with CEV

Version 1.0.0.0 (5.63 KB) by Yanyi Yuan
Rebonato approximation formula for calibration of LIBOR Market Model with CEV
0.0
(0)
26 Downloads
Updated 15 Mar 2018

View License

Matlab provides Rebonato's approximation formula for calibration of LIBOR Market Model to European Swaptions (blackvolbyrebonato.m). https://www.mathworks.com/help/fininst/blackvolbyrebonato.html
This file is a modification to the Matlab version of blackvolbyrebonato.m. This file compute Black volatility for LIBOR Market Model with Constant Elastic Variance (CEV) using Rebonato formula.
i.e. dF_i/F_i^(cevAlpha) = u_i + vol*dW_i, where dW is a i dimensional Brownian motion

Cite As

Yanyi Yuan (2024). Rebonato approximation formula for calibration of LIBOR Market Model with CEV (https://www.mathworks.com/matlabcentral/fileexchange/66508-rebonato-approximation-formula-for-calibration-of-libor-market-model-with-cev), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2017b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Financial Toolbox in Help Center and MATLAB Answers
Tags Add Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.0.0.0