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Hull-White Tree Setup

Propagate Hull-White interest-rate tree

Functions

hwtimespec Specify time structure for Hull-White interest-rate tree
hwtree Construct Hull-White interest-rate tree
hwvolspec Specify Hull-White 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.

Calibrating Hull-White Model Using Market Data

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

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.

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