Hull-White Tree Setup
The Hull-White (HW) model assumes that the short rate follows a mean-reverting stochastic process, which means that interest rates will tend to move towards a long-term average over time. Setup an HW interest-rate tree model using the following functions:
Functions
hwtimespec | Specify time structure for Hull-White interest-rate tree |
hwtree | Build Hull-White interest-rate tree |
hwvolspec | Specify Hull-White interest-rate volatility process |
Topics
- 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.
- Calibrating Hull-White Model Using Market Data
The pricing of interest-rate derivative securities relies on models that describe the underlying process.
- 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.
