Hull-White Interest Rate Tree Matlab

mossin · October 21st, 2003, 3:41 pm

Hey!I wonder if one can find matlab or visual basic code for implementing Hull - White trinomial interest rate tree?Trond

20402040 · October 21st, 2003, 4:56 pm

Have Code for implementing a Hull-White trinomial interest rate tree in Matlab. I'll forward it on tomorrow when I find it.

mossin · October 29th, 2003, 4:32 pm

HeyYou promised me a Matlab code, but did not come back!!!Someone else that can help? I have big trouble programming all the different situations that can happen.

premier · October 31st, 2003, 7:57 am

Hi,what model you are asking for? This with floating time-step or the simple model with equal steps?

mossin · October 31st, 2003, 2:33 pm

The model with equal time step. And by the way is it much complicated to program a two-factor model?

mossin · November 9th, 2003, 2:47 pm

Anyone that can help me????

Kiejstutowicz · November 10th, 2003, 1:26 pm

Useful pseudo-code, a la Matlab/VBA, constructing trinomial trees for Hull-White model you can find in Clewlow&Strickland "Implementing derivatives models".Kiejstutowicz.

alandgd · April 18th, 2006, 10:08 pm

QuoteOriginally posted by: mossinAnyone that can help me????Did u get implement it ? If so, could you send it to me?TnxAlan