HW Interest Rates sctructure scenario generation

2 Ansichten (letzte 30 Tage)
Alexander
Alexander am 26 Mai 2012
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

Antworten (0)

Kategorien

Mehr zu Financial Toolbox finden Sie in Help Center und File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by