Matlab Codes

    Chapter 1

    Generation of Brownian paths

    Chapter 2

    Black's formula for call options

    Chapter 3

    Price-yield relationship

    Yield calculation

    Duration for par bonds

    Convexity

    Yield data, Yield data of 3/15/2007

    Chapter 4

    Construction of forward-rate curve

    Principal component analysis for the forward-rate curve

    Chapter 5

    Construction of Arrow-Debreu tree under the Ho-Lee model

    Construction of Arrow-Debreu tree under the Hull-White model

    The input discount curve (of 06/29/2006)

    Chapter 6

    Black's formula for swaption pricing

    Chapter 7

    Cholesky decomposition