Bdt

Finance::BDT is a Perl module that implements BDT yield curve model. SYNOPSIS use Finance::BDT; use Data::Dumper my @y = (0, 0.0283, 0.029, 0.0322, 0.0401, 0.0435, 0.0464, 0.0508, 0.0512); ## YTM on strips my $vol = 0.20; ## constant volatility my $epsilon = 0.01; my ($r, $d, $A) =...


Platforms: *nix

A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".Highlights:* Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation.* Pricing exotic options using the implied trinomial tree...


Platforms: Matlab