1
$\begingroup$

As part of a time series analysis, I'm writing a MATLAB program to create a Hull White tree, for the purpose of pricing a coupon-bearing bond.

While using the function hwvolspec (volatility specifications), there are six input arguments, two of which are Alphacurve, which is the vector of mean reversion values, and AlphaDates, which is the vector of mean reversion end dates.

However, the only time series data that I have are the volatility term structures, the zero curves, the market prices of the bond in question, and I also have all the associated dates.

My main question is, how do I figure out the mean reversion values and dates from the data that I have? From where do I get the value of Alphacurve and AlphaDates? Do I need any additional data?

$\endgroup$
  • $\begingroup$ Nothing wrong with MATLAB questions $\endgroup$ – Bob Jansen Aug 15 '17 at 18:08

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.