2-factors model HJM
Show older comments
Hi to all, I ask you an urgent help to solve my problem. I must implement the 2-factors Heat-Jarrow-Morton algorithm to calculate the VaR of a portfolio, I must use Matlab, but I have some problems. First, someone can explain to me how I can calculate the parameters sigma1, sigma2 and lambda of the model? Done this, how can I simulate the prices with Montecarlo method?
I ask you an urgent help, I'm in crisis.
Thank you in advanced.
Sophie.
Answers (0)
Categories
Find more on Mortgage-Backed Securities in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!