daily pastebin goal
1%
SHARE
TWEET

Untitled

a guest Nov 17th, 2017 50 Never
Not a member of Pastebin yet? Sign Up, it unlocks many cool features!
  1. 21 19 17 16 15 13 11
  2.  
  3. 20 18 16 15 14 12 11
  4.  
  5. 19 17 15 14 13 12 10
  6.  
  7. 18 16 14 13 12 11 10
  8.  
  9. 15 14 13 12 12 11 10
  10.  
  11. 13 13 12 11 11 10 9]/100;
  12.    
  13. length(Tenors),1);
  14.    
  15. repmat(360*Tenors,1,length(ExerciseDates)),1),size(EurExDatesFull));
  16.    
  17. for iTenor=1:length(Tenors)
  18.  
  19.     [~,SwaptionStrike(iTenor,iSwaption)] = swapbyzero(RateSpec,[NaN 0], Settle, EurMatFull(iTenor,iSwaption),...
  20.  
  21.         'StartDate',EurExDatesFull(iTenor,iSwaption),'LegReset',[1 1]);
  22.  
  23.     SwaptionBlackPrices(iTenor,iSwaption) = swaptionbyblk(RateSpec, 'call', SwaptionStrike(iTenor,iSwaption),Settle, ...
  24.  
  25.         EurExDatesFull(iTenor,iSwaption), EurMatFull(iTenor,iSwaption), SwaptionBlackVol(iTenor,iSwaption));
  26.  
  27. end
  28.    
  29. swaptionbyhw(hwtree(hwvolspec(Settle,'11-Aug-2015',x(2),'11-Aug-2015',x(1)), RateSpec, TimeSpec), 'call', SwaptionStrike(relidx),...
  30.  
  31. EurExDatesFull(relidx), 0, EurExDatesFull(relidx), EurMatFull(relidx));
  32.    
  33. 'DeltaTime',DeltaTime,'Tenor',Tenor,'antithetic',true);
  34.    
  35. BermudanExerciseDates,BermudanMaturity);
RAW Paste Data
Top