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Financial Derivatives Toolbox

Financial Toolbox:

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bdttimespec

: BDT.

:

TimeSpec = bdttimespec(ValuationDate, Maturity, Compounding)

:

  • ValuationDate - , . MATLAB .
  • Maturiry - () . NLEVELS:1 , . . .
  • Compounding - (). , , , , . Default = 1. .
      Compounding = 1,2,3,4,6,12.
      Disc = (1+Z/F)^(-T), F , Z , , T = F .
      Compounding = 365.
      Disc = (1+Z/F)^(-T), F 1 , T .
        Compounding = -1.
        Disc = exp (-T*Z), .

:

bdttimespec:
TimeSpec = bdttimespec(ValuationDate, Maturity, Compounding) BDT .

TimeSpec , bdttree. [ValuationDate; Maturity(1:end-1)]. , , .

:

. Compounding . :

Compounding = 1;
ValuationDate = '01-01-2000';
Maturity = ['01-01-2001'; '01-01-2002'; '01-01-2003';
'01-01-2004'; '01-01-2005'];
TimeSpec = bdttimespec(ValuationDate, Maturity, Compounding)

:

. : bdttree, bdtvolspec.

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