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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