Heath-Jarrow-Morton Tree Setup
Propagate Heath-Jarrow-Morton interest-rate tree
Functions
hjmtimespec |
Specify time structure for Heath-Jarrow-Morton interest-rate tree |
hjmtree |
Build Heath-Jarrow-Morton interest-rate tree |
hjmvolspec |
Specify Heath-Jarrow-Morton interest-rate volatility process |
Examples and How To
- 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.
- 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 Europrean callable bond.
Concepts
- 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.
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