Code covered by the BSD License

CMS_new( TimeGrid,K,fixingTim... This is material illustrating the methods from the book
DichteVar_new(v,T,kappa,xi,V ... This is material illustrating the methods from the book
GaussLegInput(lowerBound,uppe... This is material illustrating the methods from the book
PlotFigure1( x,V,kappa,xi,T ) This is material illustrating the methods from the book
PlotFigure3( x,kappa,xi,T,V ) This is material illustrating the methods from the book
PlotFigure5( T,kappa,xi,V,tit... This is material illustrating the methods from the book
PlotFigure6( V,kappa,T) This is material illustrating the methods from the book
[out]=eta(mu,kappa,xi,T,V) This is material illustrating the methods from the book
beta( x,T, a, b) This is material illustrating the methods from the book
betaSR( t,fix, ausz,T,q,a,b,c... This is material illustrating the methods from the book
fHut(mu,kappa,xi,T,V) This is material illustrating the methods from the book
g_new( u,v,betaQuer1,betaQuer... This is material illustrating the methods from the book
odefkt(y,kappa,xi,mu,sigma,V) This is material illustrating the methods from the book
rho_new( Ti,Tj,t,nu,eta) This is material illustrating the methods from the book
sigma( x,a,b,c,d ) This is material illustrating the methods from the book
sigmaSRsquared( t,fix,ausz,T,... This is material illustrating the methods from the book
simp2D.m
InitVariables.m
TestAll.m
TestCMSSpread.m
TestPlotFigure1.m
TestPlotFigure3.m
TestPlotFigure5.m
TestPlotFigure6.m
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CMS Spread Caps Stochastic Local Volatility Libor Market Model

22 May 2012

Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.

File Information
Description	This is illustrating material for chapter 4 of the Wiley Finance book "Financial Modelling: Theory, Implementation and Practice with MATLAB Source" by Kienitz and Wetterau. We consider a local stochastic volatility Libor Market model. The local volatility of displaced diffuison type and the stochastic volatility is of Heston type. This is combined with a term structure of volatility and a flexible correlation structure (both in parametric form). The model allows for time dependent displacement. We provide an analytic solution to the problem which is very fast and can be used for calibration of such an advanced model to market quotes.
Acknowledgements	2 D Simpson's Integrator inspired this file. This file inspired Risk Neutral Densities For Financial Models.
Required Products	MATLAB
MATLAB release	MATLAB 7.14 (R2012a)
Other requirements	Tested with Matlab releases R2008b-R2012a The simp2d (Id #23204) is a corrected version of the one already on the file exchange (the integration grid).

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Everyone's Tags	cms, cms spread, constant maturity swap, displaced diffusion, heston, laplace transform, libor, libor market model, local volatility, parameter averaging, stochastic volatility, time dependence
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Comments and Ratings (2)
01 Oct 2012	Leonardo
10 Jul 2012	Andreas