File Exchange

image thumbnail

Vasicek

version 1.0.0.0 (1.35 KB) by Philip
Illustrates various methods to calculate bond prices under Vasicek model.

4 Downloads

Updated 26 May 2016

View License

This function shows you how to calculate a bond's price when the interest rate follows the Vasicek model. The function shows the analytical solution to the ODE, it shows how solve the ODE numerically using ode45, and it shows how to solve for the bond's price using Monte Carlo simulations.

Comments and Ratings (2)

DI567LL

DI567LL

Updates

1.0.0.0

Corrected title.

MATLAB Release Compatibility
Created with R2016a
Compatible with any release
Platform Compatibility
Windows macOS Linux