Vasicek

Version 1.0.0.0 (1.35 KB) by Philip
Illustrates various methods to calculate bond prices under Vasicek model.
3.0
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437 Downloads
Updated 26 May 2016

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This function shows you how to calculate a bond's price when the interest rate follows the Vasicek model. The function shows the analytical solution to the ODE, it shows how solve the ODE numerically using ode45, and it shows how to solve for the bond's price using Monte Carlo simulations.

Cite As

Philip (2024). Vasicek (https://www.mathworks.com/matlabcentral/fileexchange/57354-vasicek), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Price and Analyze Financial Instruments in Help Center and MATLAB Answers

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Version Published Release Notes
1.0.0.0

Corrected title.