www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputeInstrumentSensitivitiesUsinganHJMInterestRateTreeExample.m
%% Compute Instrument Sensitivities Using an HJM Interest-Rate Tree % Copyright 2015 The MathWorks, Inc. %% % Load the tree and instruments from the |deriv.mat| data file. Compute % |Delta| and |Gamma| for the cap and bond instruments contained in the % instrument set. load deriv.mat; HJMSubSet = instselect(HJMInstSet,'Type', {'Bond', 'Cap'}); instdisp(HJMSubSet) %% % Compute the |Delta| and |Gamma| for the cap and bond instruments. [Delta, Gamma] = hjmsens(HJMTree, HJMSubSet)