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For FYP, using short rate models to calibrate swap curves and identify arbitrage

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Shifei

Shifei

 
 

bondPrice.m

bondPrice.m

 
 

calculate_return.m

calculate_return.m

 
 

calibrate_par.m

calibrate_par.m

 
 

calibrate_rt.m

calibrate_rt.m

 
 

calibration.m

calibration.m

 
 

dATA.mat

dATA.mat

 
 

hedge.m

hedge.m

 
 

main.m

main.m

 
 

main_new.m

main_new.m

 
 

profitnloss.m

profitnloss.m

 
 

swapRate.m

swapRate.m

 
 

x6MLIBOR.mat

x6MLIBOR.mat

 
 

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For FYP, using short rate models to calibrate swap curves and identify arbitrage

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calibration arbitrage
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