Pricing Derivatives Matlab script

Publisher review:
Pricing Derivatives ilustrates how to price an instrument portfolio. This demo shows Excel Link and the Financial Derivatives Toolbox. Inside Excel, there is a portfolio consisting of three bonds with different coupon rates and maturities, and a European call option on the 6% Bond. There is also an initial forward curve and volatility.Directions: - Open the HJMBDTdemos.xls file. - Push the input buttons. This exports the Portfolio Data, Forward Curve, and Sigma to MATLAB - Price the Portfolio with ?Calculate Price? button - View the price evolution of each one of the instruments in the portfolio using the ?View Price Tree? button. - Repeat the same procedure with the second sheet that uses BDT algorithm.
Operating system:
Windows / Linux / Mac OS / BSD / Solaris

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