Black-Karasinski Tree Analysis

Price and analyze Black-Karasinski interest-rate instrument

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

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 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 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.