www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/SimulateTermStructuresfortheLinearGaussian2FModelExample.m
%% Simulate Term Structures for the LinearGaussian2F Model % Copyright 2015 The MathWorks, Inc. %% % Create a two-factor additive Gaussian interest-rate 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); a = .07; b = .5; sigma = .01; eta = .006; rho = -.7; G2PP = LinearGaussian2F(irdc,a,b,sigma,eta,rho) %% % Use the |simTermStructs| method to simulate term structures based on the % |LinearGaussian2F| model. SimPaths = simTermStructs(G2PP, 10,'nTrials',100);