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 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.
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.