If T={Bi} Bi are the all matrix of rank n. So,T is a matrix space(right?). How to calculate the basis of T? are the basis of T also some matrix?
Thank you!
thank you! the problem is about a example of Vasicek model.it is in the book"Strategic Asset Allocation in Fixed Income Markets A Matlab based user's guide",page 77.It wants to solve a PDE of Vasicek model for bond pricing.
who can help me to run this code in matlab? I run it in my computer but the result is totally different from the book! In the book,the image is a increase curve,but my result is a decrease curve.So, is there something wrong of my MATLAB?
code：
syms r P A B t;
P = exp(A+B*r);
disp('first...
thank you man! I am just back from norway.
I tried the code you give me,but it is not work.
The following is the code,could you help me to check it?
>>dr = 0.005;
Nr = 20;
dt = 0.1;
Nt = 20;
a=0.2339*0.0189;
b=0.2339;
delta=sqrt(0.0073);
u=zeros(Nr+1,Nt+1);
u(1,:)=1;
for...
thank u so mush!but I think my difference method is implicit difference that is:
B_j^i = \frac{\sigma_j k}{h} B_{j-1}^{i+1} + \left(1-\frac{2 \sigma_j k}{h^2}-\frac{\mu_j k}{h}-r_j\right)B_j^{i+1} + \left(\frac{\sigma_j k}{h^2}+\frac{\mu_j k}{h}\right)B_{j+1}^{i+1},
so:
B^i = \left(...
Thank you so much! you a so kind!
I wrote some code this afternoon.but i think there is some thing wrong
r is the longitudinal coordinates, t is the x-coordinate:
dr = 0.01; %each depth step
Nr = 100; % Choose the number of depth steps
Nt = 40; % Choose the number of time steps
dt =...