Heath-Jarrow-Morton Tree Analysis
The Heath-Jarrow-Morton (HJM) framework provides a way to model the evolution of interest rates over time and across different maturities. Price and analyze interest-rate instruments using a HJM tree model with the following functions:
Functions
bondbyhjm | Price bond from Heath-Jarrow-Morton interest-rate tree |
capbyhjm | Price cap instrument from Heath-Jarrow-Morton interest-rate tree |
cfbyhjm | Price cash flows from Heath-Jarrow-Morton interest-rate tree |
fixedbyhjm | Price fixed-rate note from Heath-Jarrow-Morton interest-rate tree |
floatbyhjm | Price floating-rate note from Heath-Jarrow-Morton interest-rate tree |
floorbyhjm | Price floor instrument from Heath-Jarrow-Morton interest-rate tree |
hjmprice | Instrument prices from Heath-Jarrow-Morton interest-rate tree |
hjmsens | Instrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree |
mmktbyhjm | Create money-market tree from Heath-Jarrow-Morton interest-rate tree |
oasbyhjm | Determine option adjusted spread using Heath-Jarrow-Morton model |
optbndbyhjm | Price bond option from Heath-Jarrow-Morton interest-rate tree |
optfloatbyhjm | Price options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree |
optembndbyhjm | Price bonds with embedded options by Heath-Jarrow-Morton interest-rate tree |
optemfloatbyhjm | Price embedded option on floating-rate note for Heath-Jarrow-Morton interest-rate tree |
rangefloatbyhjm | Price range floating note using Heath-Jarrow-Morton tree |
swapbyhjm | Price swap instrument from Heath-Jarrow-Morton interest-rate tree |
swaptionbyhjm | Price swaption from Heath-Jarrow-Morton interest-rate tree |
derivget | Get derivatives pricing options |
derivset | Set or modify derivatives pricing options |
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.
- Pricing Options Structure
The MATLAB®
Optionsstructure provides additional input to most pricing functions. - 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.
