April 2014
Beginner to intermediate
830 pages
15h 21m
Chinese
Content preview from Mathematica 錦囊妙計
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14.12 以樹狀圖呈現利率敏感性高的金融商品
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587
接下來，只要指定邊界值及樹的深度，便可輕鬆繪製樹狀圖。
[Page-589]
討論說明
以上只是樹狀圖繪製的基本原理，如果要呈現 Hull-White 樹，還需對節點加上標示，
最簡單的辦法是直接在樹狀圖上的節點處添加文字元件，並直接以節點座標作為文字內
容，接著只要利用 Mathematica 的模式匹配功能取代為指定文字即可。
ch14.indd 587 2014/4/2 下午 02:59:12
588
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第十四章
以下使用單因素利率模型（single-factor interest rate model）樹狀圖為例，其模型描述如
下：
其中
r
為短期利率，而
a
與
σ
為常數。[Page-590]
從先前繪製的
gr
樹狀圖出發，將節點標示文字（即節點座標）取代為利率變化量。使
用
Replace
指令取代時，只要指定深度為
Infinity
，便可匹配任意深度的表示式，而不
必擔心圖形真正深度為何。
ch14.indd 588 2014/4/2 下午 02:59:12
14.12 以樹狀圖呈現利率敏感性高的金融商品
|
589
延伸資訊
本 文 內 容 源 自 Weber & Partner 公 司 的 Thomas Weber 之 開 發 工 作（
http://bit. ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.