Black-Derman-Toy Tree Analysis

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

Functions

bdtpriceInstrument prices from Black-Derman-Toy interest-rate tree
bdtsensInstrument prices and sensitivities from Black-Derman-Toy interest-rate tree
bondbybdtPrice bond from Black-Derman-Toy interest-rate tree
capbybdtPrice cap instrument from Black-Derman-Toy interest-rate tree
cfbybdtPrice cash flows from Black-Derman-Toy interest-rate tree
fixedbybdtPrice fixed-rate note from Black-Derman-Toy interest-rate tree
floatbybdtPrice floating-rate note from Black-Derman-Toy interest-rate tree
floorbybdtPrice floor instrument from Black-Derman-Toy interest-rate tree
mmktbybdtCreate money-market tree from Black-Derman-Toy interest-rate tree
oasbybdtDetermine option adjusted spread using Black-Derman-Toy model
optbndbybdt Price bond option from Black-Derman-Toy interest-rate tree
optfloatbybdtPrice options on floating-rate notes for Black-Derman-Toy interest-rate tree
optembndbybdtPrice bonds with embedded options by Black-Derman-Toy interest-rate tree
optemfloatbybdtPrice embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
rangefloatbybdtPrice range floating note using Black-Derman-Toy tree
swapbybdtPrice swap instrument from Black-Derman-Toy interest-rate tree
swaptionbybdtPrice swaption from Black-Derman-Toy interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

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.

Pricing Options Structure

The MATLAB® Options structure 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 use treeviewer to examine tree information for a Hull-White tree when you price a Europrean callable bond.

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 Instrument Functions

Interest-rate instrument functions supported by Financial Instruments Toolbox.