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Hull-White Tree Analysis

Price and analyze Hull-White interest-rate instrument

Functions

bondbyhw Price bond from Hull-White interest-rate tree
capbyhw Price cap instrument from Hull-White interest-rate tree
cfbyhw Price cash flows from Hull-White interest-rate tree
fixedbyhw Price fixed-rate note from Hull-White interest-rate tree
floatbyhw Price floating-rate note from Hull-White interest-rate tree
floorbyhw Price floor instrument from Hull-White interest-rate tree
hwcalbycap Calibrate Hull-White tree using caps
hwcalbyfloor Calibrate Hull-White tree using floors
hwprice Instrument prices from Hull-White interest-rate tree
hwsens Instrument prices and sensitivities from Hull-White interest-rate tree
oasbyhw Determine option adjusted spread using Hull-White model
optbndbyhw Price bond option from Hull-White interest-rate tree
optfloatbyhw Price options on floating-rate notes for HW interest-rate tree
optembndbyhw Price bonds with embedded options by Hull-White interest-rate tree
optemfloatbyhw Price embedded option on floating-rate note HW interest-rate tree
rangefloatbyhw Price range floating note using Hull-White tree
swapbyhw Price swap instrument from Hull-White interest-rate tree
swaptionbyhw Price swaption from Hull-White interest-rate tree

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.

Calibrating Hull-White Model Using Market Data

The pricing of interest-rate derivative securities relies on models that describe the underlying process.

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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