CMS Spread Caps Stochastic Local Volatility Libor Market Model

Version 1.0.0.0 (27.7 KB) by Kienitz Wetterau FinModelling
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.
5.0
(2)
1.5K Downloads
Updated 22 May 2012

View License

This is illustrating material for chapter 4 of the Wiley Finance book "Financial Modelling: Theory, Implementation and Practice with MATLAB Source" by Kienitz and Wetterau.

We consider a local stochastic volatility Libor Market model. The local volatility of displaced diffuison type and the stochastic volatility is of Heston type. This is combined with a term structure of volatility and a flexible correlation structure (both in parametric form). The model allows for time dependent displacement.
We provide an analytic solution to the problem which is very fast and can be used for calibration of such an advanced model to market quotes.

Cite As

Kienitz Wetterau FinModelling (2025). CMS Spread Caps Stochastic Local Volatility Libor Market Model (https://www.mathworks.com/matlabcentral/fileexchange/36812-cms-spread-caps-stochastic-local-volatility-libor-market-model), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Risk Management Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.0.0.0