Black-Derman-Toy Tree Setup
The Black-Derman-Toy (BDT) model is a discrete-time, binomial tree framework that allows for the modeling of the evolution of interest rates over time. Setup a BDT interest-rate tree model using the following functions:
Functions
bdttimespec | Specify time structure for Black-Derman-Toy interest-rate tree |
bdttree | Build Black-Derman-Toy interest-rate tree |
bdtvolspec | Specify Black-Derman-Toy interest-rate volatility process |
Topics
- 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
treeviewerto 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.
