% 
% Written by:
% -- 
% John L. Weatherwax                2006-12-31
% 
% email: wax@alum.mit.edu
% 
% Please send comments and especially bug reports to the
% above email address.
% 
%-----

clc; 
close all; 

alpha = .05; 
beta = .1; 
vol = 0.25; 

expry = 1.0; % a year from now
period = 0.25; % quarterly 
fixedrate = 0.05; 

NRS = 15; 
NTS = 30; 
NRS = 15; 
NTS = 225; % should be O(NRS^2) for convergence 

[H,r,t] = IAR3D(alpha,beta,vol,expry,fixedrate,period,NRS,NTS); 

mesh( t, r, H ); 
xlabel('time'); ylabel('spot rate (r)'); zlabel('IARS'); 
title('The function H(r,t) for an index amortizing rate swap');

saveas(gcf,'../../WriteUp/Graphics/Chapter38/dup_H_r_t.eps', 'epsc');