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MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manual de usuario Pagina 25

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5-3
Calibration and Monte Carlo simulation of single-factor and multifactor
interest-rate models, including Hull-White, Linear Gaussian, and LIBOR
Market Models
Support for pricing interest-rate instruments for caps, floors, and swaptions using Monte
Carlo simulation with Hull-White, Shifted Gaussian, and LIBOR Market Models. There
are three new classes, three new methods, and four new functions.
Class Purpose
HullWhite1F Create a Hull-White one-factor model.
LinearGaussian2F Create a two-factor additive Gaussian interest-rate model.
LiborMarketModel Create a LIBOR Market Model.
Method Purpose
HullWhite1F.simTermStructsSimulate term structures for a Hull-White one-factor model.
LinearGaussian2F.simTermStructsSimulate term structures for a two-factor additive Gaussian
interest-rate model.
LiborMarketModel.simTermStructsSimulate term structures for a LIBOR Market Model.
Function Purpose
capbylg2f Price caps using a Linear Gaussian two-factor model.
floorbylg2f Price floors using a Linear Gaussian two-factor model.
swaptionbylg2f Price European swaptions using a Linear Gaussian two-factor
model.
blackvolbyrebonato Compute the Black volatility for a LIBOR Market Model using
the Rebonato formula.
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