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Financial Derivatives Toolbox

Financial Toolbox:

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bdttree

: BDT .

:

BDTTree = bdttree(VolSpec, RateSpec, TimeSpec)

:

  • VolSpec - . bdtvolspec.
  • RateSpec - . , intenvset.
  • TimeSpec - . BDT . bdttimespec .

:

bdttree:
BDTTree = bdttree(VolSpec, RateSpec, TimeSpec) .

:

BDT (VolSpec), (RateSpec) (TimeSpec). BDT bdttree. :

Compounding = 1;
ValuationDate = '01-01-2000';
StartDate = ValuationDate;
EndDates = ['01-01-2001'; '01-01-2002'; '01-01-2003';
'01-01-2004'; '01-01-2005'];
Rates = [.1; .11; .12; .125; .13];
Volatility = [.2; .19; .18; .17; .16];
RateSpec = intenvset('Compounding', Compounding,...
'ValuationDate', ValuationDate,...
'StartDates', StartDate,...
'EndDates', EndDates,...
'Rates', Rates);
BDTTimeSpec = bdttimespec(ValuationDate, EndDates, Compounding);
BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Volatility);
BDTTree = bdttree(BDTVolSpec, RateSpec, BDTTimeSpec);

treeviewer . :

:

. : bdtprice, bdttimespec, bdtvolspec, intenvset.

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