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Financial Derivatives Toolbox

Financial Toolbox:

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hjmtree

: HJM

:

HJMTree = hjmtree(VolSpec, RateSpec, TimeSpec)

:

  • VolSpec - . , - . hjmvolspec.
  • RateSpec - , . , intenvset.
  • TimeSpec - . HJM . hjmtimespec .

: hjmtree:

HJMTree = hjmtree(VolSpec, RateSpec, TimeSpec)

.

: HJM (VolSpec), (RateSpec) (TimeSpec). HJM hjmtree. :

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];
CurveTerm = [1; 2; 3; 4; 5];
HJMVolSpec = hjmvolspec('Stationary', Volatility , CurveTerm);
RateSpec = intenvset('Compounding', Compounding,...
'ValuationDate', ValuationDate,...
'StartDates', StartDate,...
'EndDates', EndDates,...
'Rates', Rates);
HJMTimeSpec = hjmtimespec(ValuationDate, EndDates, Compounding);
HJMTree = hjmtree(HJMVolSpec, RateSpec, HJMTimeSpec);

treeviewer , :

treeviewer(HJMTree)

:

. : hjmprice, hjmtimespec, hjmvolspec, intenvset

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