Heath-Jarrow-Morton Tree Analysis

Price and analyze Heath-Jarrow-Morton interest-rate instrument

Functions

`bondbyhjm`	Price bond from Heath-Jarrow-Morton interest-rate tree
`capbyhjm`	Price cap instrument from Heath-Jarrow-Morton interest-rate tree
`cfbyhjm`	Price cash flows from Heath-Jarrow-Morton interest-rate tree
`fixedbyhjm`	Price fixed-rate note from Heath-Jarrow-Morton interest-rate tree
`floatbyhjm`	Price floating-rate note from Heath-Jarrow-Morton interest-rate tree
`floorbyhjm`	Price floor instrument from Heath-Jarrow-Morton interest-rate tree
`hjmprice`	Instrument prices from Heath-Jarrow-Morton interest-rate tree
`hjmsens`	Instrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree
`mmktbyhjm`	Create money-market tree from Heath-Jarrow-Morton interest-rate tree
`oasbyhjm`	Determine option adjusted spread using Heath-Jarrow-Morton model
`optbndbyhjm`	Price bond option from Heath-Jarrow-Morton interest-rate tree
`optfloatbyhjm`	Price options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree
`optembndbyhjm`	Price bonds with embedded options by Heath-Jarrow-Morton interest-rate tree
`optemfloatbyhjm`	Price embedded option on floating-rate note for Heath-Jarrow-Morton interest-rate tree
`rangefloatbyhjm`	Price range floating note using Heath-Jarrow-Morton tree
`swapbyhjm`	Price swap instrument from Heath-Jarrow-Morton interest-rate tree
`swaptionbyhjm`	Price swaption from Heath-Jarrow-Morton interest-rate tree
`derivget`	Get derivatives pricing options
`derivset`	Set or modify derivatives pricing options

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 Options Structure
The MATLAB^® Options structure provides additional input to most pricing functions.
Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to use treeviewer to examine tree information for a Hull-White tree when you price a European callable bond.

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.

Supported Interest-Rate Instrument Functions
Interest-rate instrument functions supported by Financial Instruments Toolbox.