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Feeds
Submitted
MHT_mcs_max
This function returns the max-MHT test [Cummins M., Esposito F.P., 2024]
1 year ago | 2 downloads |
Submitted
Trinomial tree swaption pricing
Swaption pricing function under the Hull-White lattice model. It allows finer grid.
10 years ago | 1 download |
Submitted
Black1976 swaption pricing for a bespoke deal
This function prices a swaption portfolio with any cash-low structure
12 years ago | 1 download |
Submitted
trinomial tree plot
This function plots the Hull-White tree structure
12 years ago | 1 download |
Submitted
Trinomial tree calibration
This function calibrates the Hull-White trinomial tree.
12 years ago | 2 downloads |
Submitted
volatility to premium for swaptions (Black76 model)
This function convert ATM volatility surface into swaption premiums and par rates.
12 years ago | 1 download |
Submitted
Trinomial tree swaption pricing
This function generates swaption prices under the Hull-White trinomial tree model.
12 years ago | 1 download |
