Black-Derman-Toy Tree Analysis

Price and analyze Black-Derman-Toy interest-rate instrument

Functions

`bdtprice`	Instrument prices from Black-Derman-Toy interest-rate tree
`bdtsens`	Instrument prices and sensitivities from Black-Derman-Toy interest-rate tree
`bondbybdt`	Price bond from Black-Derman-Toy interest-rate tree
`capbybdt`	Price cap instrument from Black-Derman-Toy interest-rate tree
`cfbybdt`	Price cash flows from Black-Derman-Toy interest-rate tree
`fixedbybdt`	Price fixed-rate note from Black-Derman-Toy interest-rate tree
`floatbybdt`	Price floating-rate note from Black-Derman-Toy interest-rate tree
`floorbybdt`	Price floor instrument from Black-Derman-Toy interest-rate tree
`mmktbybdt`	Create money-market tree from Black-Derman-Toy interest-rate tree
`oasbybdt`	Determine option adjusted spread using Black-Derman-Toy model
`optbndbybdt`	Price bond option from Black-Derman-Toy interest-rate tree
`optfloatbybdt`	Price options on floating-rate notes for Black-Derman-Toy interest-rate tree
`optembndbybdt`	Price bonds with embedded options by Black-Derman-Toy interest-rate tree
`optemfloatbybdt`	Price embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
`rangefloatbybdt`	Price range floating note using Black-Derman-Toy tree
`swapbybdt`	Price swap instrument from Black-Derman-Toy interest-rate tree
`swaptionbybdt`	Price swaption from Black-Derman-Toy interest-rate tree
`derivget`	Get derivatives pricing options
`derivset`	Set or modify derivatives pricing options

Pricing Using Interest-Rate Tree Models
The portfolio pricing functionshjmpriceandbdtprice计算的价格支持instru的任何设置金宝appments, 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.
Pricing a Portfolio Using the Black-Derman-Toy Model
This example illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.
Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to usetreeviewerto examine tree information for a Hull-White tree when you price a Europrean 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.