Vasicek

버전 1.0.0.0 (1.35 KB) 작성자: Philip
Illustrates various methods to calculate bond prices under Vasicek model.
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다운로드 수: 424
업데이트 날짜: 2016/5/26

라이선스 보기

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.

인용 양식

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

MATLAB 릴리스 호환 정보
개발 환경: R2016a
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Help Center 및 MATLAB Answers에서 Price and Analyze Financial Instruments에 대해 자세히 알아보기

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버전 게시됨 릴리스 정보
1.0.0.0

Corrected title.