Asset liability management is one of the most common functions in financial institutions. Given the variety of financial instruments in the portfolio of financial institutions, there is a need for integrating stochastic interest rate models or interest rate trees into financial modeling. You can learn how to use MATLAB® to perform cash flow analysis, calculate the duration gap, and perform sensitivity analysis in this demo. The interest rate model used in this example is the Black-Karasinski interest rate tree, which is a recombining trinomial tree. Moreover, you can easily use MATLAB to create an app to share with your colleague royalty-free.
Select a Web Site
Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .Select web site
You can also select a web site from the following list:
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.