2gamma example function 20 swappricestart end

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Unformatted text preview: ce(Start, End, FixedRate,L,Frequ,Zeros,Result) Values a plain vanilla interest rate swap. Note: ignores cash flows arising from reset dates prior to Start date Arguments: Start Beginning of swap (years from today) End End of swap (years from today) FixedRate Fixed rate that is exchange for floating (compounding frequency corresponds to Frequ) L Notional principal Frequ Frequency of payments on swap per year (=12, 4, 2, or 1) Zeros Array containing zero curve: Maturities in the first column and corresponding zero rates in second column Result 0=Price, 1=Delta, 2=Gamma Example ### Function 21: IPortfolio(t,Zeros,Nsigma,Na,LNsigma,LNa, Portfolio,Result) Carries out calculations for a portfolio of options on a non-dividend-paying stock, stock index, currency, or futures Arguments: t Valuation date (years from today >=0) Zeros Array containing zero curve: Maturities in the first column and corresponding zero rates in second column Nsigma sigma parameter to be used with normal model Na reversion rate parameter to be used with normal model LNsigma sigma parameter to be used with lognormal model LNa reversion rate parameter to be used with lognormal model Portfolio Array defining portfolio. See below Result 0=Price; 1=Delta; 2=Gamma; 3=Vega Portfolio definition: Bond Swap Black Cap HW Cap Tree Cap Black Swaption HW Swaption Tree Swaption Black Bond Opt. HW Bond Opt. Tree Bond Opt. Type 0 1 2 3 4 5 6 7 8 9 10 Life Start Start Start Start Start Start Start Life Life Life Coupon End End End End End End End Coupon Coupon Coupon Princ. FixedRate CapRate CapRate CapRate SwapRate SwapRate SwapRate Princ Princ Princ Frequ L L L L L L L Frequ Frequ Frequ IsClean Frequ Frequ Frequ Frequ Frequ Frequ Frequ K K K IsCap IsCap IsCap IsPayFix IsPayFix IsPayFix T T T Type 0 8 8 10 10.2 10.2 10.2 10.2 6% 6% 6% 6% 100 100 100 100 2 2 2 2 TRUE 102 105 98 0.5 1 5 vol Model vol nSteps Model IsCall IsCall IsCall nSteps IsQuoted IsQuoted IsQuoted Model TRUE TRUE FALSE TRUE TRUE TRUE 15% 14% 1 vol nSteps IsAmerican Sample Portfolio Bond Black Bond Opt. Black Bond Opt. Tree Bond Opt. Example ### 25 TRUE CONVERGENCE OF...
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This document was uploaded on 04/10/2014.

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