MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuel d'utilisateur télécharger pdf (Page 25)

5-3

Calibration and Monte Carlo simulation of single-factor and multifactor

interest-rate models, including Hull-White, Linear Gaussian, and LIBOR

Market Models

Support for pricing interest-rate instruments for caps, floors, and swaptions using Monte

Carlo simulation with Hull-White, Shifted Gaussian, and LIBOR Market Models. There

are three new classes, three new methods, and four new functions.

Class Purpose

HullWhite1F Create a Hull-White one-factor model.

LinearGaussian2F Create a two-factor additive Gaussian interest-rate model.

LiborMarketModel Create a LIBOR Market Model.

Method Purpose

HullWhite1F.simTermStructsSimulate term structures for a Hull-White one-factor model.

LinearGaussian2F.simTermStructsSimulate term structures for a two-factor additive Gaussian

interest-rate model.

LiborMarketModel.simTermStructsSimulate term structures for a LIBOR Market Model.

Function Purpose

capbylg2f Price caps using a Linear Gaussian two-factor model.

floorbylg2f Price floors using a Linear Gaussian two-factor model.

swaptionbylg2f Price European swaptions using a Linear Gaussian two-factor

model.

blackvolbyrebonato Compute the Black volatility for a LIBOR Market Model using

the Rebonato formula.

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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manuel d'utilisateur Page 25