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