Instrument sensitivities and prices from Cox-Ingersoll-Ross interest-rate model

`[`

computes dollar sensitivities and prices for instruments using a Cox-Ingersoll-Ross (CIR)
interest rate tree created with `Delta`

,`Gamma`

,`Vega`

,`Price`

] = cirsens(`CIRTree`

,`InstSet`

)`cirtree`

. The CIR tree uses a CIR++
model with the Nawalka-Beliaeva (NB) approach.

All sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

`cirsens`

handles the following instrument type values:
`'Bond'`

, `'CashFlow'`

,`'OptBond'`

,
`'Fixed'`

, `'Float'`

, `'Cap'`

,
`'Floor'`

, `'Swap'`

,`'Swaption'`

,
`'RangeFloat'`

, `'OptFloat'`

,
`'OptEmFloat'`

.

[1] Cox, J., Ingersoll, J.,and S. Ross. "A Theory of the Term Structure of Interest
Rates." *Econometrica.* Vol. 53, 1985.

[2] Brigo, D. and F. Mercurio. *Interest Rate Models - Theory and
Practice.* Springer Finance, 2006.

[3] Hirsa, A. *Computational Methods in Finance.* CRC Press,
2012.

[4] Nawalka, S., Soto, G., and N. Beliaeva. *Dynamic Term Structure
Modeling.* Wiley, 2007.

[5] Nelson, D. and K. Ramaswamy. "Simple Binomial Processes as Diffusion
Approximations in Financial Models." *The Review of Financial Studies.*
Vol 3. 1990, pp. 393–430.

`bondbycir`

| `capbycir`

| `cfbycir`

| `cirprice`

| `fixedbycir`

| `floatbycir`

| `floorbycir`

| `oasbycir`

| `optbndbycir`

| `optembndbycir`

| `optemfloatbycir`

| `optfloatbycir`

| `rangefloatbycir`

| `swapbycir`

| `swaptionbycir`