MATLAB è Simulink íà ðóññêîì

https://hub.exponenta.ru/
 

Financial Derivatives Toolbox

Financial Toolbox:

  \ \

hjmtimespec

: HJM

:

TimeSpec = hjmtimespec(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),

: hjmtimespec:

TimeSpec = hjmtimespec(ValuationDate, Maturity, Compounding)

HJM . TimeSpec , hjmtree. [Settle; Maturity(1:end-1)]. , , .

: - . Compounding . :

Compounding = -1;
ValuationDate = '15-Jan-1999';
Maturity = datemnth(ValuationDate, 6*(1:8)');
TimeSpec = hjmtimespec(ValuationDate, Maturity, Compounding)

HJM :

. : hjmtree, hjmvolspec

   \ \

 

:


 Orphus