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Financial Derivatives Toolbox

Financial Toolbox:

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bktimespec

: (-)

:

TimeSpec = bktimespec(ValuationDate, Maturity,Compounding)

:

  • ValuationDate - , . MATLAB .
  • Maturity - () . 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), .

: bktimespec:

TimeSpec = bktimespec(ValuationDate, Maturity, Compounding)

B , .
TimeSpec , bktree. [Settle; Maturity(1:end-1)]. , , .

: . Compounding . :

ValuationDate = 'Jan-1-2004';
Maturity = ['12-31-2004'; '12-31-2005'; '12-31-2006';
'12-31-2007'];
Compounding = 1;
TimeSpec = bktimespec(ValuationDate, Maturity, Compounding)

:

. : bktree, bkvolspec, hwtree

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