Vasicek

版本 1.0.0.0 (1.4 KB) 作者: Philip
Illustrates various methods to calculate bond prices under Vasicek model.
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424.0 次下载
更新时间 2016/5/26

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This function shows you how to calculate a bond's price when the interest rate follows the Vasicek model. The function shows the analytical solution to the ODE, it shows how solve the ODE numerically using ode45, and it shows how to solve for the bond's price using Monte Carlo simulations.

引用格式

Philip (2024). Vasicek (https://www.mathworks.com/matlabcentral/fileexchange/57354-vasicek), MATLAB Central File Exchange. 检索来源 .

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创建方式 R2016a
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版本 已发布 发行说明
1.0.0.0

Corrected title.