Vasicek

Version 1.0.0.0 (1,35 KB) von Philip
Illustrates various methods to calculate bond prices under Vasicek model.
3.0
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445 Downloads
Aktualisiert 26. Mai 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.

Zitieren als

Philip (2025). Vasicek (https://www.mathworks.com/matlabcentral/fileexchange/57354-vasicek), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2016a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
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Mehr zu Price and Analyze Financial Instruments finden Sie in Help Center und MATLAB Answers

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Version Veröffentlicht Versionshinweise
1.0.0.0

Corrected title.