File Exchange

image thumbnail

CMS Spread Caps Stochastic Local Volatility Libor Market Model

Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.

3 Downloads

Updated 22 May 2012

View License

This is illustrating material for chapter 4 of the Wiley Finance book "Financial Modelling: Theory, Implementation and Practice with MATLAB Source" by Kienitz and Wetterau.

We consider a local stochastic volatility Libor Market model. The local volatility of displaced diffuison type and the stochastic volatility is of Heston type. This is combined with a term structure of volatility and a flexible correlation structure (both in parametric form). The model allows for time dependent displacement.
We provide an analytic solution to the problem which is very fast and can be used for calibration of such an advanced model to market quotes.

Comments and Ratings (2)

Leonardo

Andreas

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux