www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ConstructaHullWhiteOneFactorModelExample.m
%% Construct a Hull-White One-Factor Model % Copyright 2015 The MathWorks, Inc. %% % Construct a Hull-White one-factor model. Settle = datenum('15-Dec-2007'); CurveTimes = [1:5 7 10 20]'; ZeroRates = [.01 .018 .024 .029 .033 .034 .035 .034]'; CurveDates = daysadd(Settle,360*CurveTimes,1); irdc = IRDataCurve('Zero',Settle,CurveDates,ZeroRates); alpha = .1; sigma = .01; HW1F = HullWhite1F(irdc,alpha,sigma) %% % Use the |simTermStructs| method with the |HullWhite1F| model to simulate % term structures. SimPaths = simTermStructs(HW1F, 10,'nTrials',100);