Interest rate model script download - Interest rate model Interest rate model - Hull and White interest rate model

Interest rate model - Hull and White interest rate model This model implements Hull-White single factor interest rate model based on the paper published by the duo in 1994.The code currently is written to deal with 3 step symmetric tree structure. However, it can further be modified to incorporate time varying two-factor asymmetric tree structure and implement both, Hull-White and Black-Karasinski models easily. Requirements: · MATLAB Release: R2006b

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