Is there a function or method for interest rate swaption evaluation?
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I would like to compute the interest rate on a swaption using MATLAB.
Accepted Answer
MathWorks Support Team
on 13 Jan 2010
This feature has been added in Financial Derivatives Toolbox 5.1 (R2007b). For all previous versions, use the following workaround.
It is possible to try to use short interest rate trees to build up pricing functions for more complex interest rate derivatives like swaptions.
We do provide several interest rate models. You can create your own instrument to price it with our models (such as BDT, HW, HJM, BK). As we do support the swap instrument, and since a swaption is just an option on a swap, you could create this instrument and adapt it to our pricing function.
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