Price Using Monte Carlo Simulation
Price cap, floor, and swaptions using Monte Carlo simulations with Hull-White, Linear Gaussian, and Libor Market models
Objects
LiborMarketModel |
Create LIBOR Market Model |
LinearGaussian2F |
Create two-factor additive Gaussian interest-rate model |
HullWhite1F |
Create Hull-White one-factor model |
Functions
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 |
Topics
- 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.