Question: 11. (BDT Model Calibration.) Write a MATLAB program to calibrate the BDT model based on the following data on bond prices and implied volatilities

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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