bktree
Build Black-Karasinski interest-rate tree
Description
creates a structure containing time and interest-rate information on a recombining tree. BKTree
= bktree(VolSpec
,RateSpec
,TimeSpec
)
Note
Alternatively, you can use the IRTree
object to price
interest-rate instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
adds additional name-value pair arguments.BKTree
= bktree(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[1] Hull, J., and A. White. "Using Hull-White Interest Rate Trees." Journal of Derivatives. 1996.
[2] Hull, J., and A. White. "The General Hull-White Model and Super Calibration." August 2000.
Version History
Introduced before R2006a
See Also
bkprice
| bkvolspec
| bktimespec
| intenvset
| bksens
Topics
- Pricing Using Interest-Rate Tree Models
- Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
- Calibrating Hull-White Model Using Market Data
- Pricing Options Structure
- Understanding Interest-Rate Tree Models
- Supported Interest-Rate Instrument Functions
- Mapping Financial Instruments Toolbox Functions for Interest-Rate Instrument Objects