11. (BDT Model Calibration.) Write a MATLAB program to calibrate the BDT model based on the following
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11. (BDT Model Calibration.) Write a MATLAB program to calibrate the BDT model based on the following data on bond prices and implied volatilities
• B(t0, t1) 5 0.95; B(t0, t2) 5 0.93; B(t0, t3) 5 0.91; B(t0, t4) 5 0.89
• σ(0,1) 5 20%; σ(0,2) 5 25%; σ(0,3) 5 20%; σ(0,4) 5 18%
Draw the LIBOR tree based on the output results.
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Related Book For 
Principles Of Financial Engineering
ISBN: 9780123869685
3rd Edition
Authors: Robert Kosowski, Salih N. Neftci
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