Documentation

This is machine translation

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

Heath-Jarrow-Morton Tree Setup

Propagate Heath-Jarrow-Morton interest-rate tree

Functions

hjmtimespec Specify time structure for Heath-Jarrow-Morton interest-rate tree
hjmtree Construct Heath-Jarrow-Morton interest-rate tree
hjmvolspec Specify Heath-Jarrow-Morton interest-rate volatility process

Examples and How To

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.

Concepts

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.

Was this topic helpful?