Is there a function or method for interest rate swaption evaluation?
1 回表示 (過去 30 日間)
古いコメントを表示
I would like to compute the interest rate on a swaption using MATLAB.
採用された回答
MathWorks Support Team
2010 年 1 月 13 日
This feature has been added in Financial Derivatives Toolbox 5.1 (R2007b). For all previous versions, use the following workaround.
It is possible to try to use short interest rate trees to build up pricing functions for more complex interest rate derivatives like swaptions.
We do provide several interest rate models. You can create your own instrument to price it with our models (such as BDT, HW, HJM, BK). As we do support the swap instrument, and since a swaption is just an option on a swap, you could create this instrument and adapt it to our pricing function.
0 件のコメント
その他の回答 (0 件)
参考
カテゴリ
Help Center および File Exchange で Price and Analyze Financial Instruments についてさらに検索
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!