Heath-Jarrow-Morton Tree Analysis
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 |
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.
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 Europrean callable bond.
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 Instrument Functions
Interest-rate instrument functions supported by Financial Instruments Toolbox.
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