Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

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 Black-Derman-Toy interest-rate tree
optembndbybdt Price bonds with embedded options by Black-Derman-Toy interest-rate tree
optemfloatbybdt Price embedded option on floating-rate note for Black-Derman-Toy 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

Supported Interest-Rate Instruments

Interest-rate instruments supported by Financial Instruments Toolbox.

Was this topic helpful?