Main Content

Hull-White Tree Analysis

Price and analyze Hull-White interest-rate instrument

Functions

bondbyhwPrice bond from Hull-White interest-rate tree
capbyhwPrice cap instrument from Hull-White interest-rate tree
cfbyhwPrice cash flows from Hull-White interest-rate tree
fixedbyhwPrice fixed-rate note from Hull-White interest-rate tree
floatbyhwPrice floating-rate note from Hull-White interest-rate tree
floorbyhwPrice floor instrument from Hull-White interest-rate tree
hwcalbycapCalibrate Hull-White tree using caps
hwcalbyfloorCalibrate Hull-White tree using floors
hwpriceInstrument prices from Hull-White interest-rate tree
hwsensInstrument prices and sensitivities from Hull-White interest-rate tree
oasbyhwDetermine option adjusted spread using Hull-White model
optbndbyhw Price bond option from Hull-White interest-rate tree
optfloatbyhwPrice options on floating-rate notes for Hull-White interest-rate tree
optembndbyhwPrice bonds with embedded options by Hull-White interest-rate tree
optemfloatbyhwPrice embedded option on floating-rate note for Hull-White interest-rate tree
rangefloatbyhwPrice range floating note using Hull-White tree
swapbyhwPrice swap instrument from Hull-White interest-rate tree
swaptionbyhwPrice swaption from Hull-White interest-rate tree

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.

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.

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.

Financial Instruments Toolbox Documentation

Support

A Practical Guide to Modeling Financial Risk with MATLAB

A Practical Guide to Modeling Financial Risk with MATLAB

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