This function shows you how to calculate a bond's price when the interest rate follows the Vasicek model. The function shows the analytical solution to the ODE, it shows how solve the ODE numerically using ode45, and it shows how to solve for the bond's price using Monte Carlo simulations.
Philip (2023). Vasicek (https://www.mathworks.com/matlabcentral/fileexchange/57354-vasicek), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!