Hull-White Tree Analysis

Price and analyze Hull-White interest-rate instrument

Functions

bondbyhwPrice bond from Hull-White interest-rate tree
capbyhwPrice cap instrument from Hull-White interest-rate tree
cfbyhwPrice cash flows from Hull-White interest-rate tree
fixedbyhwPrice fixed-rate note from Hull-White interest-rate tree
floatbyhwPrice floating-rate note from Hull-White interest-rate tree
floorbyhwPrice floor instrument from Hull-White interest-rate tree
hwcalbycapCalibrate Hull-White tree using caps
hwcalbyfloorCalibrate Hull-White tree using floors
hwpriceInstrument prices from Hull-White interest-rate tree
hwsensInstrument prices and sensitivities from Hull-White interest-rate tree
oasbyhwDetermine option adjusted spread using Hull-White model
optbndbyhw Price bond option from Hull-White interest-rate tree
optfloatbyhwPrice options on floating-rate notes for Hull-White interest-rate tree
optembndbyhwPrice bonds with embedded options by Hull-White interest-rate tree
optemfloatbyhwPrice embedded option on floating-rate note for Hull-White interest-rate tree
rangefloatbyhwPrice range floating note using Hull-White tree
swapbyhwPrice swap instrument from Hull-White interest-rate tree
swaptionbyhwPrice swaption from Hull-White interest-rate tree

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.

Calibrating Hull-White Model Using Market Data

The pricing of interest-rate derivative securities relies on models that describe the underlying process.

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.