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Simulate Interest Rates
Hello,
I am new to MatLab, and I apologize in advance if what I am about to write sounds banal.
I need to simulate a risk free interest rate (Eonia) over a 10 years period and I don't know how to implement my model with MatLab.
I saw the example in this page http://www.mathworks.com/help/toolbox/econ/briajhb.html
but i really cannot change the simulation period (from 64 trading days to 2520 trading days).
Moreover, it's not so clear what's written there, because not every code line is explained (ex what you do when you write
average = obj.StartState * exp(-speed * T) + level * (1 - exp(-speed * T));
Y=obj.interpolate, why not Y=obj.simulate, and so on..)
I need an output of 2520 (252*10) daily observation of EONIA.
What can i do? Which code should I use?
Thank you very much in advance for the time everyone will spend reading this.
Giorgio
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 Giorgio
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9/24/2010 9:00:27 AM |
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