Vasicek

Versione 1.0.0.0 (1,35 KB) da Philip
Illustrates various methods to calculate bond prices under Vasicek model.
3.0
(2)
423 download
Aggiornato 26 mag 2016

Visualizza la licenza

This function shows you how to calculate a bond's price when the interest rate follows the Vasicek model. The function shows the analytical solution to the ODE, it shows how solve the ODE numerically using ode45, and it shows how to solve for the bond's price using Monte Carlo simulations.

Cita come

Philip (2024). Vasicek (https://www.mathworks.com/matlabcentral/fileexchange/57354-vasicek), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2016a
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Price and Analyze Financial Instruments in Help Center e MATLAB Answers

Community Treasure Hunt

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

Start Hunting!

Versione Pubblicato Note della release
1.0.0.0

Corrected title.