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  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);
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