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Black-Derman-Toy Tree Analysis

Price and analyze Black-Derman-Toy interest-rate instrument

Functions

bdtprice Instrument prices from Black-Derman-Toy interest-rate tree
bdtsens Instrument prices and sensitivities from Black-Derman-Toy interest-rate tree
bondbybdt Price bond from Black-Derman-Toy interest-rate tree
capbybdt Price cap instrument from Black-Derman-Toy interest-rate tree
cfbybdt Price cash flows from Black-Derman-Toy interest-rate tree
fixedbybdt Price fixed-rate note from Black-Derman-Toy interest-rate tree
floatbybdt Price floating-rate note from Black-Derman-Toy interest-rate tree
floorbybdt Price floor instrument from Black-Derman-Toy interest-rate tree
mmktbybdt Create money-market tree from Black-Derman-Toy interest-rate tree
oasbybdt Determine option adjusted spread using Black-Derman-Toy model
optbndbybdt Price bond option from Black-Derman-Toy interest-rate tree
optfloatbybdt Price options on floating-rate notes for BDT interest-rate tree
optembndbybdt Price bonds with embedded options by Black-Derman-Toy interest-rate tree
optemfloatbybdt Price embedded option on floating-rate note BDT interest-rate tree
rangefloatbybdt Price range floating note using Black-Derman-Toy tree
swapbybdt Price swap instrument from Black-Derman-Toy interest-rate tree
swaptionbybdt Price swaption from Black-Derman-Toy interest-rate tree
derivget Get derivatives pricing options
derivset Set or modify derivatives pricing options

Examples and How To

Pricing Using Interest-Rate Tree Models

The portfolio pricing functions hjmprice and bdtprice calculate the price of any set of supported instruments, based on an interest-rate tree.

Computing Instrument Sensitivities

The delta, gamma, and vega sensitivities that Financial Instruments Toolbox™ computes are dollar sensitivities.

Pricing Options Structure

The MATLAB® Options structure provides additional input to most pricing functions.

Pricing a Portfolio Using the Black-Derman-Toy Model

This example illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.

Concepts

Interest-Rate Tree Models

Overview of Interest-Rate Tree Models

Financial Instruments Toolbox computes prices and sensitivities of interest-rate contingent claims based on several methods of modeling changes in interest rates over time.

Understanding Interest-Rate Tree Models

Financial Instruments Toolbox supports the Black-Derman-Toy (BDT), Black-Karasinski (BK), Heath-Jarrow-Morton (HJM), and Hull-White (HW) interest-rate models.

Interest-Rate Instruments

Stepped Coupon Bonds

A step-up and step-down bond is a debt security with a predetermined coupon structure over time.

Stepped Coupon Bonds with Calls and Puts

A step-up and step-down bond is a debt security with a predetermined coupon structure over time.

Sinking Fund Bonds

A sinking fund bond is a coupon bond with a sinking fund provision.

Sinking Fund Bonds with an Embedded Option

The sinking fund bond can have a sinking fund option provision allowing the issuer to retire the sinking fund obligation.

Bonds with an Amortization Schedule

A bond with an amortization schedule repays part of the principal (face value) along with the coupon payments.

Floating-Rate Note with an Amortization Schedule

A floating-rate note with an amortization schedule repays part of the principal along with the coupon payments.

Floating-Rate Note with Options

Financial Instruments Toolbox supports three types of put and call options on floating rate-notes.

Floating-Rate Note with Embedded Options

A floating-rate note with an embedded option enables floating-rate notes to have early redemption features.

Swap with an Amortization Schedule

A swap with an amortization schedule repays part of the principal along with the coupon payments.

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