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Black-Derman-Toy Tree Analysis

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

Functions

bdtpriceInstrument prices from Black-Derman-Toy interest-rate tree
bdtsensInstrument prices and sensitivities from Black-Derman-Toy interest-rate tree
bondbybdtPrice bond from Black-Derman-Toy interest-rate tree
capbybdtPrice cap instrument from Black-Derman-Toy interest-rate tree
cfbybdtPrice cash flows from Black-Derman-Toy interest-rate tree
fixedbybdtPrice fixed-rate note from Black-Derman-Toy interest-rate tree
floatbybdtPrice floating-rate note from Black-Derman-Toy interest-rate tree
floorbybdtPrice floor instrument from Black-Derman-Toy interest-rate tree
mmktbybdtCreate money-market tree from Black-Derman-Toy interest-rate tree
oasbybdtDetermine option adjusted spread using Black-Derman-Toy model
optbndbybdt Price bond option from Black-Derman-Toy interest-rate tree
optfloatbybdtPrice options on floating-rate notes for Black-Derman-Toy interest-rate tree
optembndbybdtPrice bonds with embedded options by Black-Derman-Toy interest-rate tree
optemfloatbybdtPrice embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
rangefloatbybdtPrice range floating note using Black-Derman-Toy tree
swapbybdtPrice swap instrument from Black-Derman-Toy interest-rate tree
swaptionbybdtPrice swaption from Black-Derman-Toy interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Examples and How To

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