This demo shows Excel Link and the Financial Derivatives Toolbox. Inside Excel, there is a portfolio consisting of three bonds with different coupon rates and maturities, and a European call option on the 6% Bond. There is also an initial forward curve and volatility.
- Open the HJMBDTdemos.xls file.
- Push the input buttons. This exports the Portfolio Data, Forward Curve, and Sigma to MATLAB
- Price the Portfolio with ?Calculate Price? button
- View the price evolution of each one of the instruments in the portfolio using the ?View Price Tree? button.
- Repeat the same procedure with the second sheet that uses BDT algorithm.
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