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Financial Derivatives Toolbox

Financial Toolbox:

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cvtree

:

:

RateTree = cvtree(Tree)

:

  • Tree - HJM, BDT, HW, BK , .

:

cvtree:

RateTree = cvtree(Tree)
.

:

HW , HW . :

load deriv;
HWTree

:

0- :

HWTree.FwdTree{1}
HWTree.FwdTree{2}

:

, , treeviewer. :

treeviewer(HWTree)

:

cvtree . :

RTree = cvtree(HWTree)

:

0- :

RTree.RateTree{1}
RTree.RateTree{2}

:

treeviewer , , .

:

 treeviewer(RTree)

, :

. : disc2rate, rate2disc.

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:


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