Hull-White Tree Analysis

Price and analyze Hull-White interest-rate instrument

Functions

`bondbyhw`	Price bond from Hull-White interest-rate tree
`capbyhw`	Price cap instrument from Hull-White interest-rate tree
`cfbyhw`	Price cash flows from Hull-White interest-rate tree
`fixedbyhw`	Price fixed-rate note from Hull-White interest-rate tree
`floatbyhw`	Price floating-rate note from Hull-White interest-rate tree
`floorbyhw`	Price floor instrument from Hull-White interest-rate tree
`hwcalbycap`	Calibrate Hull-White tree using caps
`hwcalbyfloor`	Calibrate Hull-White tree using floors
`hwprice`	Instrument prices from Hull-White interest-rate tree
`hwsens`	Instrument prices and sensitivities from Hull-White interest-rate tree
`oasbyhw`	Determine option adjusted spread using Hull-White model
`optbndbyhw`	Price bond option from Hull-White interest-rate tree
`optfloatbyhw`	Price options on floating-rate notes for Hull-White interest-rate tree
`optembndbyhw`	Price bonds with embedded options by Hull-White interest-rate tree
`optemfloatbyhw`	Price embedded option on floating-rate note for Hull-White interest-rate tree
`rangefloatbyhw`	Price range floating note using Hull-White tree
`swapbyhw`	Price swap instrument from Hull-White interest-rate tree
`swaptionbyhw`	Price swaption from Hull-White interest-rate tree

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.
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 treeviewer to 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.