This is machine translation

Translated by

Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Click here to see
To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

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

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.

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.

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 Instruments

Interest-rate instruments supported by Financial Instruments Toolbox.