Price Using Monte Carlo Simulation

Price cap, floor, and swaptions using Monte Carlo simulations with Hull-White, Linear Gaussian, and Libor Market models

Use Monte Carlo simulations with Hull-White, Linear Gaussian, and Libor Market models to price an analyze an interest-rate instrument.

Objects

`LiborMarketModel`	Create LIBOR Market Model
`LinearGaussian2F`	Create two-factor additive Gaussian interest-rate model
`HullWhite1F`	Create Hull-White one-factor model

`simTermStructs`	Simulate term structures for LIBOR Market Model
`simTermStructs`	Simulate term structures for two-factor additive Gaussian interest-rate model
`simTermStructs`	Simulate term structures for Hull-White one-factor model
`capbylg2f`	Price cap using Linear Gaussian two-factor model
`floorbylg2f`	Price floor using Linear Gaussian two-factor model
`swaptionbylg2f`	Price European swaption using Linear Gaussian two-factor model
`blackvolbyrebonato`	Compute Black volatility for LIBOR Market Model using Rebonato formula
`hwcalbycap`	Calibrate Hull-White tree using caps
`hwcalbyfloor`	Calibrate Hull-White tree using floors

Price Swaptions with Interest-Rate Models Using Simulation
This example shows how to price European swaptions using interest-rate models in Financial Instruments Toolbox™.
Pricing Bermudan Swaptions with Monte Carlo Simulation
This example shows how to price Bermudan swaptions using interest-rate models in Financial Instruments Toolbox™.
Calibrating Caplets Using the Normal (Bachelier) Model
This example shows how to use hwcalbycap to calibrate market data with the Normal (Bachelier) model to price caplets.
Calibrating Floorlets Using the Normal (Bachelier) Model
This example shows how to use hwcalbyfloor to calibrate market data with the Normal (Bachelier) model to price floorlets.