Pricing Derivatives (Scripts) Publisher's description
from Kas Sharma
This demo shows Excel Link and the Financial Derivatives Toolbox.
This demo shows Excel Link and the Financial Derivatives Toolbox. Inside Excel, there is a portfolio consisting of three bonds with different coupon rates and maturities, and a European call option on the 6% Bond. There is also an initial forward curve and volatility.
? Open the HJMBDTdemos.xls file.
? Push the input buttons. This exports the Portfolio Data, Forward Curve, and Sigma to MATLAB
? Price the Portfolio with ?Calculate Price? button
? View the price evolution of each one of the instruments in the portfolio using the ?View Price Tree? button.
? Repeat the same procedure with the second sheet that uses BDT algorithm.
System Requirements:MATLAB 6.5 (R13)
Program Release Status: New Release
Program Install Support: Install and Uninstall