hjmtree
Build Heath-Jarrow-Morton interest-rate tree
Description
creates a structure containing time and forward-rate information on a bushy tree. HJMTree
= hjmtree(VolSpec
,RateSpec
,TimeSpec
)
Note
Alternatively, you can use the IRTree
object to price
interest-rate instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
Examples
Input Arguments
Output Arguments
More About
Version History
Introduced before R2006a