Black-Karasinski Tree Analysis

Price and analyze Black-Karasinski interest-rate instrument

Functions

bkpriceInstrument prices from Black-Karasinski interest-rate tree
bksensInstrument prices and sensitivities from Black-Karasinski interest-rate tree
bondbybkPrice bond from Black-Karasinski interest-rate tree
capbybkPrice cap instrument from Black-Karasinski interest-rate tree
cfbybkPrice cash flows from Black-Karasinski interest-rate tree
fixedbybkPrice fixed-rate note from Black-Karasinski interest-rate tree
floatbybkPrice floating-rate note from Black-Karasinski interest-rate tree
floorbybkPrice floor instrument from Black-Karasinski interest-rate tree
oasbybkDetermine option adjusted spread using Black-Karasinski model
optbndbybk Price bond option from Black-Karasinski interest-rate tree
optfloatbybkPrice options on floating-rate notes for Black-Karasinski interest-rate tree
optembndbybkPrice bonds with embedded options by Black-Karasinski interest-rate tree
optemfloatbybkPrice embedded option on floating-rate note for Black-Karasinski interest-rate tree
rangefloatbybkPrice range floating note using Black-Karasinski tree
swapbybkPrice swap instrument from Black-Karasinski interest-rate tree
swaptionbybkPrice swaption from Black-Karasinski 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.

Pricing and Hedging a Portfolio Using the Black-Karasinski Model

This example illustrates how MATLAB® can be used to create a portfolio of interest-rate derivatives securities, and price it using the Black-Karasinski interest-rate 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.