Hull-White Tree Analysis
Price and analyze Hull-White interest-rate instrument
|Price bond from Hull-White interest-rate tree|
|Price cap instrument from Hull-White interest-rate tree|
|Price cash flows from Hull-White interest-rate tree|
|Price fixed-rate note from Hull-White interest-rate tree|
|Price floating-rate note from Hull-White interest-rate tree|
|Price floor instrument from Hull-White interest-rate tree|
|Calibrate Hull-White tree using caps|
|Calibrate Hull-White tree using floors|
|Instrument prices from Hull-White interest-rate tree|
|Instrument prices and sensitivities from Hull-White interest-rate tree|
|Determine option adjusted spread using Hull-White model|
|Price bond option from Hull-White interest-rate tree|
|Price options on floating-rate notes for Hull-White interest-rate tree|
|Price bonds with embedded options by Hull-White interest-rate tree|
|Price embedded option on floating-rate note for Hull-White interest-rate tree|
|Price range floating note using Hull-White tree|
|Price swap instrument from Hull-White interest-rate tree|
|Price swaption from Hull-White interest-rate tree|
Examples and How To
- Pricing Using Interest-Rate Tree Models
The portfolio pricing functions
bdtpricecalculate 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
treeviewerto examine tree information for a Hull-White tree when you price a European callable bond.
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.
- Supported Interest-Rate Instrument Functions
Interest-rate instrument functions supported by Financial Instruments Toolbox.