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Financial Derivatives Toolbox

Financial Toolbox:

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bdtvolspec

: BDT

:

Volspec = bdtvolspec(ValuationDate, VolDates, VolCurve, InterpMethod)

:

  • ValuationDate - , .
  • VolDates - NPOINTS:1 .
  • VolCurve - NPOINTS:1 .
  • InterpMethod - (). . 'linear'.

:

bdtvolspec:
Volspec = bdtvolspec(ValuationDate, VolDates, VolCurve, InterpMethod)
bdttree.

:

BDT . :

ValuationDate = '01-01-2000';
EndDates = ['01-01-2001'; '01-01-2002'; '01-01-2003';
'01-01-2004'; '01-01-2005'];
Volatility = [.2; .19; .18; .17; .16];
BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Volatility)

:

. : bdttree, interp1.

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:


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