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Financial Derivatives Toolbox

Financial Toolbox:

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hwvolspec

: HW

:

Volspec = hwvolspec(ValuationDate, VolDates, VolCurve, AlphaDates,AlphaCurve, InterpMethod)

:

  • ValuationDate - , .
  • VolDates - NPOINTS:1 .
  • VolCurve - NPOINTS:1 .
  • AlphaDates - NPOINTS:1 .
  • AlphaCurve - NPOINTS:1 .
  • InterpMethod - (). . 'linear'. interp1.

: hwvolspec:

Volspec = hwvolspec(ValuationDate, VolDates, VolCurve, AlphaDates, AlphaCurve, InterpMethod)

hwtree.

: (VolSpec) HW . :

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;
HWVolSpec = hwvolspec(ValuationDate, VolDates, VolCurve,...
AlphaDates, AlphaCurve)

HW :

   HW


. : bktree, interp1

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:


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