HW Interest Rates sctructure scenario generation
2 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
Hi All, Suppose I have an initial term structure for a currency and parameters for HW model (2 parameter HW model). I want to generate scenarios where at each time node I have the whole structure of interest rate but not only the short rate. How can I do so? The next question would be if I have several currencies how could I get both of IR and FX rates generated in each scenario?
Thank you in advance, Alexander
0 Kommentare
Antworten (0)
Siehe auch
Kategorien
Mehr zu Financial Toolbox finden Sie in Help Center und File Exchange
Produkte
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!