Cox-Ingersoll-Ross Tree Analysis
The Cox-Ingersoll-Ross (CIR) model assumes that the short rate follows a mean-reverting stochastic process. This characteristic reflects the idea that interest rates will tend to move towards a long-term average level over time. Price and analyze interest-rate instruments using a CIR tree model with the following functions:
Functions
cirprice | Instrument prices from Cox-Ingersoll-Ross interest-rate model |
cirsens | Instrument sensitivities and prices from Cox-Ingersoll-Ross interest-rate model |
bondbycir | Price bond from Cox-Ingersoll-Ross interest-rate tree |
capbycir | Price cap instrument from Cox-Ingersoll-Ross interest-rate tree |
cfbycir | Price cash flows from Cox-Ingersoll-Ross interest-rate tree |
fixedbycir | Price fixed rate note from Cox-Ingersoll-Ross interest-rate tree |
floatbycir | Price floating-rate note from Cox-Ingersoll-Ross interest-rate tree |
floorbycir | Price floor instrument from Cox-Ingersoll-Ross interest-rate tree |
oasbycir | Determine option adjusted spread using Cox-Ingersoll-Ross model |
optbndbycir | Price bond option from Cox-Ingersoll-Ross interest-rate tree |
optfloatbycir | Price options on floating-rate notes for Cox-Ingersoll-Ross interest-rate tree |
optembndbycir | Price bonds with embedded options by Cox-Ingersoll-Ross interest-rate tree |
optemfloatbycir | Price embedded option on floating-rate note for Cox-Ingersoll-Ross interest-rate tree |
rangefloatbycir | Price range floating note using Cox-Ingersoll-Ross tree |
swapbycir | Price swap instrument from Cox-Ingersoll-Ross interest-rate tree |
swaptionbycir | Price swaption from Cox-Ingersoll-Ross 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.
- 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.
