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3

You might want to set $a= \epsilon - d$ and write $\epsilon>0$ as a constraint. I guess $\textbf{lsqnonlin}$ is the suitable fonction for what you intend to do. I personnally like to use and play around with $\textbf{fmincon}$, which allows more flexibility and performs well, if you are willing to provide Jacobian and/or Hessian in algorithms options


2

For a swap, we have a sequence of re-setting and payment dates. The # of forward rates corresponding to the # of payment dates. For example, let us assume that we have $n$ payment dates $t_1, \ldots, t_n$, where $0< t_1 < \cdots < t_n$. Then there are $n$ forward rates. During the simulation, for time steps prior to $t_1$, there exist $n$ ...


1

The forward Libor rate at time $t$ is the forward rate over a certain accrual period $[T, T+\Delta]$, where $\Delta$, in years, can be 3 months or 6 months, and is defined by \begin{align*} L(t, T, T+\Delta) = \frac{1}{\Delta}\left(\frac{P(t, T)}{P(t, T+\Delta)}-1 \right), \end{align*} where $P(t, u)$ is the price at time $t$ of a zero coupon bond with unit ...



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