Trinomial tree calibration

Version 1.0.0.0 (2.93 KB) by fpexp2
This function calibrates the Hull-White trinomial tree.
381 Downloads
Updated 1 May 2013

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This function calibrates the Hull-White trinomial tree. to the swaption premiums implied by the swaption market (Black's) market volatility matrix.

% This function produces the calibrated parameters for the HW model in the extended Vasicek specification.
% The reference basket is assumed to be the ATM swaption volatility matrix (Black76 model).
% The Volatility surface matrix V is assumed to be 10y X 10y of Expiry X Maturity.
% The model parameter vector a contains the levels of a straight line volatility function
% ranging from 0 to 20y. The mean reversion parameters is held constant across the time domain.
%
% input
% Curve : interest rate curve object
% V : volatility matrix
% Period : frequency of payments of the underlying swaps
% coin : initial condition for the model parameters

Cite As

fpexp2 (2024). Trinomial tree calibration (https://www.mathworks.com/matlabcentral/fileexchange/41565-trinomial-tree-calibration), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0