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Financial Derivatives Toolbox

Financial Toolbox:

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hwtree

: HW .

:

HWTree = hwtree(VolSpec, RateSpec, TimeSpec)

:

  • VolSpec - . hwvolspec.
  • RateSpec - . , intenvset.
  • TimeSpec - . HW . hwtimespec .

: hwtree:

HWTree = hwtree(VolSpec, RateSpec, TimeSpec)

.

: HW (VolSpec), (RateSpec) (TimeSpec). HW hwtree. :

Compounding = -1;
ValuationDate = '01-01-2004';
StartDate = ValuationDate;
VolDates = ['12-31-2004'; '12-31-2005'; '12-31-2006';
'12-31-2007'];
VolCurve = 0.01;
AlphaDates = '01-01-2008';
AlphaCurve = 0.1;
Rates = [0.0275; 0.0312; 0.0363; 0.0415];
HWVolSpec = hwvolspec(ValuationDate, VolDates, VolCurve,...
AlphaDates, AlphaCurve);
RateSpec = intenvset('Compounding', Compounding,...
'ValuationDate', ValuationDate,...
'StartDates', ValuationDate,...
'EndDates', VolDates,...
'Rates', Rates);
HWTimeSpec = hwtimespec(ValuationDate, VolDates, Compounding);
HWTree = hwtree(HWVolSpec, RateSpec, HWTimeSpec)

HW :


treeviewer , :

treeviewer(HWTree)

:


. : hwprice, hwtimespec, hwvolspec, intenvset

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:


 Orphus