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Oct 28

Hull-White Term Structure Model

Posted by abiao at 20:08 | Code » VBA/Excel | Comments(0) | Reads(26129)
Accompanying Excel of   "Implementation of Hull White's No-Arbitrage Term Structure Model" by Eugen Puschkarski, including:

HEDGE.XLS:   Calculation of hedge parameters
CALIBRAT.XLS:  Calibration of the model to market data, calculation of optimal volatility parameters
AMERICAN.XLS:  Valuation of American style option
CALLABLE.XLS:  Valuation of callable, putable bonds
CAP.XLS:  Valuation of Caps and Floors, comparison of analytical and   numerical solution
COUPON.XLS:  Pricing of an option on a coupon bond
BINARY.XLS:  Valuation of binary options of an accrual swap
CONVERG2.XLS:  Analysis of convergence behaviour of the numerical solution
CONVERG3.XLS:  Analysis of convergence behaviour if cash flows between   nodes do occur
FLOATER1.XLS:  Valuation of standard and non-standard floater
NUM.XLS:  Numerical valuation of zero coupon bond options
SWAP.XLS:   Calculation of swaptions

Paper and Excel file can be found at http://www.angelfire.com/ny/financeinfo/research.html
wiki(Hull-White model)


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