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Hull White Tree pricing help
This example is taken from here: <http://www.mathworks.com/help/fininst/swaptionbyhw.html> Rates =0.075 * ones (10,1); ...
meer dan 9 jaar ago | 0 answers | 0
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answersQuestion
swaptionbyhw creates a bad tree in the middle of lsqnonlin
I am trying to calibrate a Hull White 1 Factor Model. Following the example in BermudanSwaption.m When I run lsqnonlin to cal...
meer dan 9 jaar ago | 0 answers | 0
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