Price Using Tree Models
Propagate and analyze tree models to price interest-rate
instruments
Use different interest-rate tree models to setup a tree structure and then price an analyze an interest-rate instrument using the associated tree model.
Categories
- Heath-Jarrow-Morton Tree Setup
Propagate Heath-Jarrow-Morton interest-rate tree
- Heath-Jarrow-Morton Tree Analysis
Price and analyze Heath-Jarrow-Morton interest-rate instrument
- Black-Derman-Toy Tree Setup
Propagate Black-Derman-Toy interest-rate tree
- Black-Derman-Toy Tree Analysis
Price and analyze Black-Derman-Toy interest-rate instrument
- Hull-White Tree Setup
Propagate Hull-White interest-rate tree
- Hull-White Tree Analysis
Price and analyze Hull-White interest-rate instrument
- Black-Karasinski Tree Setup
Propagate Black-Karasinski interest-rate tree
- Black-Karasinski Tree Analysis
Price and analyze Black-Karasinski interest-rate instrument
- Cox-Ingersoll-Ross Tree Setup
Propagate Cox-Ingersoll-Ross interest-rate tree
- Cox-Ingersoll-Ross Tree Analysis
Price and analyze Cox-Ingersoll-Ross interest-rate instrument
- Tree Manipulation for Interest-Rate Instruments
Graphical representation of interest-rate trees
