Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes

Version 1.1.0.0 (337 KB) by Attilio Meucci
Inverse Call Transformation to compute shadow rates
5.0
(1)
1.3K Downloads
Updated 10 Nov 2015

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To walk through the code and for a thorough description, refer to A. Meucci and A. Loregian, "Neither Normal not Lognormal: Modeling Interest Rates Across all Regimes", Financial Analysts Journal, Forthcoming (2015).
Latest version of article and code available at http://symmys.com/node/601

Cite As

Attilio Meucci (2024). Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes (https://www.mathworks.com/matlabcentral/fileexchange/44544-neither-normal-not-lognormal-modeling-interest-rates-across-all-regimes), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
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Meucci Loregian - Inverse Call Transformation/

Version Published Release Notes
1.1.0.0

updated function InverseCallTransformation
1.0.0.0