fpexp2

Last seen: oltre un anno fa | Attivo dal 2013

Followers: 0 Following: 0

Messaggio

Inviato

MHT_mcs_max
This function returns the max-MHT test [Cummins M., Esposito F.P., 2024]

oltre un anno fa | 3 download |

0.0 / 5

Inviato

Trinomial tree swaption pricing
Swaption pricing function under the Hull-White lattice model. It allows finer grid.

oltre 10 anni fa | 1 download |

3.0 / 5

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Black1976 swaption pricing for a bespoke deal
This function prices a swaption portfolio with any cash-low structure

quasi 13 anni fa | 1 download |

0.0 / 5

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trinomial tree plot
This function plots the Hull-White tree structure

quasi 13 anni fa | 1 download |

0.0 / 5

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Trinomial tree calibration
This function calibrates the Hull-White trinomial tree.

quasi 13 anni fa | 2 download |

0.0 / 5

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volatility to premium for swaptions (Black76 model)
This function convert ATM volatility surface into swaption premiums and par rates.

quasi 13 anni fa | 1 download |

0.0 / 5

Inviato

Trinomial tree swaption pricing
This function generates swaption prices under the Hull-White trinomial tree model.

quasi 13 anni fa | 1 download |

0.0 / 5