| Category: Matlab |
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 Hull White Monte Carlo simulation |
| Submitter: vanna |
Date: 2008/5/30 |
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Description:
This code demonstrates simulation of short rate in Hull white model as described in paper Hull White simulation notes by Jeff Greco. After simulating rt, bond prices calculated by simulation are compared to input term structure eg., following is output of running this program:
BondPrice_Actual = 0.60653
BondPrice_MC1 = 0.60530
BondPrice_MC2 = 0.60556
where BondPrice_Actual : value obtained using input term structure BondPrice_MC1 : bond price by averaging bond prices in each path BondPrice_MC2 : bond prices are obtained by using short rates , based on formula E[exp(X)]= exp(E[X] + 0.5*Var[X])
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4088  0 bytes  Octave Matlab  http://www.quantcode.com/ |
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| Poster |
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| qvantvm |
Posted: 2009/4/22 4:46 Updated: 2009/4/22 4:46 |
Just popping in   Joined: 2009/2/23 From: Posts: 1 |
 Re: Hull White Monte Carlo simulation I
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| Anonymous |
Posted: 2011/3/28 16:57 Updated: 2011/3/28 16:57 |
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Hull White Monte Carlo simulation where i can find hull white simulation notes by jeff greco?
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