Black-Karasinski Tree Analysis
The Black-Karasinski (BK) model assumes that the short rate follows a log-normal process. This means that the logarithm of the short rate is normally distributed, which ensures that interest rates remain positive. Price and analyze interest-rate instruments using a BK tree model with the following functions:
Functions
bkprice | Instrument prices from Black-Karasinski interest-rate tree |
bksens | Instrument prices and sensitivities from Black-Karasinski interest-rate tree |
bondbybk | Price bond from Black-Karasinski interest-rate tree |
capbybk | Price cap instrument from Black-Karasinski interest-rate tree |
cfbybk | Price cash flows from Black-Karasinski interest-rate tree |
fixedbybk | Price fixed-rate note from Black-Karasinski interest-rate tree |
floatbybk | Price floating-rate note from Black-Karasinski interest-rate tree |
floorbybk | Price floor instrument from Black-Karasinski interest-rate tree |
oasbybk | Determine option adjusted spread using Black-Karasinski model |
optbndbybk | Price bond option from Black-Karasinski interest-rate tree |
optfloatbybk | Price options on floating-rate notes for Black-Karasinski interest-rate tree |
optembndbybk | Price bonds with embedded options by Black-Karasinski interest-rate tree |
optemfloatbybk | Price embedded option on floating-rate note for Black-Karasinski interest-rate tree |
rangefloatbybk | Price range floating note using Black-Karasinski tree |
swapbybk | Price swap instrument from Black-Karasinski interest-rate tree |
swaptionbybk | Price swaption from Black-Karasinski interest-rate tree |
Topics
- Pricing Using Interest-Rate Tree Models
The portfolio pricing functions
hjmpriceandbdtpricecalculate 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.
- 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.
- 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.
