Heath-Jarrow-Morton Tree Analysis

Price and analyze Heath-Jarrow-Morton interest-rate instrument

Functions

bondbyhjmPrice bond from Heath-Jarrow-Morton interest-rate tree
capbyhjmPrice cap instrument from Heath-Jarrow-Morton interest-rate tree
cfbyhjmPrice cash flows from Heath-Jarrow-Morton interest-rate tree
fixedbyhjmPrice fixed-rate note from Heath-Jarrow-Morton interest-rate tree
floatbyhjmPrice floating-rate note from Heath-Jarrow-Morton interest-rate tree
floorbyhjmPrice floor instrument from Heath-Jarrow-Morton interest-rate tree
hjmpriceInstrument prices from Heath-Jarrow-Morton interest-rate tree
hjmsensInstrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree
mmktbyhjmCreate money-market tree from Heath-Jarrow-Morton interest-rate tree
oasbyhjmDetermine option adjusted spread using Heath-Jarrow-Morton model
optbndbyhjm Price bond option from Heath-Jarrow-Morton interest-rate tree
optfloatbyhjmPrice options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree
optembndbyhjmPrice bonds with embedded options by Heath-Jarrow-Morton interest-rate tree
optemfloatbyhjmPrice embedded option on floating-rate note for Heath-Jarrow-Morton interest-rate tree
rangefloatbyhjmPrice range floating note using Heath-Jarrow-Morton tree
swapbyhjmPrice swap instrument from Heath-Jarrow-Morton interest-rate tree
swaptionbyhjmPrice swaption from Heath-Jarrow-Morton interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

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 Options Structure

The MATLAB® Options structure provides additional input to most pricing functions.

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.