fpexp2

Last seen: 1 year 前 | 自 2013 起处于活动状态

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MHT_mcs_max
This function returns the max-MHT test [Cummins M., Esposito F.P., 2024]

1 year 前 | 2 次下载 |

0.0 / 5

已提交

Trinomial tree swaption pricing
Swaption pricing function under the Hull-White lattice model. It allows finer grid.

11 years 前 | 1 次下载 |

3.0 / 5

已提交

Black1976 swaption pricing for a bespoke deal
This function prices a swaption portfolio with any cash-low structure

13 years 前 | 1 次下载 |

0.0 / 5

已提交

trinomial tree plot
This function plots the Hull-White tree structure

13 years 前 | 1 次下载 |

0.0 / 5

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Trinomial tree calibration
This function calibrates the Hull-White trinomial tree.

13 years 前 | 2 次下载 |

0.0 / 5

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volatility to premium for swaptions (Black76 model)
This function convert ATM volatility surface into swaption premiums and par rates.

13 years 前 | 1 次下载 |

0.0 / 5

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Trinomial tree swaption pricing
This function generates swaption prices under the Hull-White trinomial tree model.

13 years 前 | 1 次下载 |

0.0 / 5