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Fone
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Posts: 5
Joined: July 27th, 2013, 7:34 pm

MatLab: Pricing Bermudan Swaptions in the LMM using Steffen Hippler's Code Fragments

August 27th, 2013, 8:37 am

Hi everyone,I am currently trying to run Steffen Hippler's Code (Steffen Hippler's Thesis). I have seen that already some else in this forum tried to do so. However, he does not answer at all, that's why I opened a new post.Has anyone else already tried to do so?The Calibration to CoTerminal Swaptions seems to work. But I have some problems with the simulation in line 49 and 50. x = tril(BondPrices(-1, tril(rates))); denomY = tril(BondPrices(-1, tril(rates)),-1); Does anyone know where the Matrix BondPrices come from? This Variable is not defined and never used somewhere else.I appreciate any hints.Kind regards
 
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Fone
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Posts: 5
Joined: July 27th, 2013, 7:34 pm

MatLab: Pricing Bermudan Swaptions in the LMM using Steffen Hippler's Code Fragments

August 27th, 2013, 8:51 am

The link doesn't seem to work. Sorry about that. You can find his thesis by simply google: "Pricing Bermudan Swaptions in the LIBOR Market Model Steffen Hippler"
Last edited by Fone on August 26th, 2013, 10:00 pm, edited 1 time in total.
 
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Lapsilago
Posts: 259
Joined: October 15th, 2004, 7:36 am
Location: Germany

MatLab: Pricing Bermudan Swaptions in the LMM using Steffen Hippler's Code Fragments

September 2nd, 2013, 7:03 am

Hi Fone,the bond price should be the prices of zero coupon bonds, thus, the discount factors. In a single curve framework you can get the prices direclty from the forwards you use as the starting values.If you send the code I can have a look.Best regards,Lapsi
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