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Black-Derman-Toy Tree Setup

Propagate Black-Derman-Toy interest-rate tree


bdttimespecSpecify time structure for Black-Derman-Toy interest-rate tree
bdttreeBuild Black-Derman-Toy interest-rate tree
bdtvolspecSpecify Black-Derman-Toy 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.

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.


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.