Calculates upfront premium for a CDS using the following inputs:
1.CDS specs
2.Risk free term structure
3.Yield spread for corresponding bond grade

Uses default probability implied from the term structure to find present value of default payments

Plots forward forward rate curves for input parameters:

1.Hull white model parameters a,sigma for
% dr(t)=[nu(t) -a*r(t)]*dt + sigma*dW(t)

2.Forward rate term structure assuming continuos compounding

Calculates Bond Option price in Hull white (HW) model using Black analytical formula

Calculates fair rate of variance swap for given input implied vol curve

Based on paper More Than You Ever Wanted To Know About Volatility Swaps by Derman et al

Note : This file requires the function BlackScholesPrice

Uploaded a new version of the file as the previous version code was not matching the values reproduced in Table 1. Thanks to Taras and Caye for their valued suggestion in pointing out the problem!
Results are now matching the table 1 values , and final value of 20.467 is compared to the value mentioned on page 22


Note: there is no change in calcualtion procedure. The changes made are:
1. T is set to 90/365 instead of 0.25 earlier. (it is mentioned to be 3 months in the paper, and their calc. procedure assumed it to be 90/365 I suppose. )
2.Border strike values (50 put and 135 call) are also now considered for calculation of total
3.A new display matrix is added to verify results are reproduced

Matlab files are solution of Homework 6 for pricing swaptions in Fisher Black formula.

Mentioned in the website:

For Derivative Securities homework 6 I wrote some MATLAB code to price a swaption with Black 76. It's a bit tedious to do by hand (trust me). The put-call parity relationship for swaptions is C - P = L * A * (Fswap - Rfix) where L is the notional (principal from which the payments will be calculated), A is an annuity factor which discounts the payments back to the present and Fswap is the forward par swap rate which makes the forward swap value zero at the option's maturity.