Vasicek
3 .m files, 1) simulates a term structure using the vasicek model, 2-3) take this simulation and estimates the parameters of the model.If the implementation is good, the inputs should equal the outputs, run this 200 times.For details...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (44): Kalman Filter Application Vasicek Download |
A real-time generalized financial derivatives calculator supporting over 136+ theoretical models from open source libraries. Matrices of prices are created with iterating strikes and/or months. A strike control system can produce any strike. A generalized date engine can calculate re-occuring...
Platforms: Windows
License: Freeware | Size: 6.3 MB | Download (121): OptionMatrix Download |
- Plot arithmetic and geometric Brownian motions- Plot Brownian bridges, 2D and 3D Brownian motions- Plot some random paths for the the interest spot rate: The two models you can chose from are the Vasicek and the Cox- Ingersoll-Ross (CIR) models
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (43): Plot Some Paths Download |