Contents

Index

• Getting Started

• User Guide

• Functions

• Portfolio Hedge Allocation

• Interest-Rate Term Structure

• Heath-Jarrow-Morton Trees

• Black-Derman-Toy Trees

• Black-Karasinski Trees

• Cox-Ross-Rubinstein Trees

• Equal Probabilities Binomial Trees

• Hull-White Trees

• Implied Trinomial Tree

• Heath-Jarrow-Morton Utilities

• Black-Derman-Toy Utilities

• Black-Karasinski Utilities

• Cox-Ross-Rubinstein Utilities

• Equal Probabilities Tree Utilities

• Implied Trinomial Tree Utilities

• Hull-White Utilities

• Tree Manipulation

• Derivatives Pricing Options

• Pricing and Sensitivity Using Black-Scholes Option Pricing Model

• Pricing and Sensitivity Using Black Option Pricing Model

• Pricing and Sensitivity Using Longstaff-Schwartz Option Pricing Model

• Pricing and Sensitivity Using Nengjiu Ju Approximation Model

• Pricing and Sensitivity Using Role-Geske-Whaley Option Pricing Model

• Pricing and Sensitivity Using Bjerksund-Stensland Option Pricing Model

• Pricing and Sensitivity Using Stulz Option Pricing Model

• Instrument Portfolio Handling

• Financial Object Structures

• Interest Term Structure

• Date

• Graphical Display

Examples

• Release Notes

Learn more about Financial Derivatives Toolbox

mmktbyhjm - Create money-market tree from HJM interest-rate tree

Syntax

MMktTree = mmktbyhjm(HJMTree)

Arguments

HJMTree

Forward-rate tree structure created by hjmtree.

Description

MMktTree = mmktbyhjm(HJMTree) creates a money-market tree from a forward-rate tree structure created by hjmtree.

Examples

load deriv.mat;
MMktTree = mmktbyhjm(HJMTree);
treeviewer(MMktTree)

mmktbyhjm - Create money-market tree from HJM interest-rate tree

Syntax

Arguments

Description

Examples

See Also