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Cox-Ingersoll-Ross Tree Analysis

Price and analyze Cox-Ingersoll-Ross interest-rate instrument

Functions

cirpriceInstrument prices from Cox-Ingersoll-Ross interest-rate model
cirsensInstrument sensitivities and prices from Cox-Ingersoll-Ross interest-rate model
bondbycirPrice bond from Cox-Ingersoll-Ross interest-rate tree
capbycirPrice cap instrument from Cox-Ingersoll-Ross interest-rate tree
cfbycirPrice cash flows from Cox-Ingersoll-Ross interest-rate tree
fixedbycirPrice fixed rate note from Cox-Ingersoll-Ross interest-rate tree
floatbycirPrice floating-rate note from Cox-Ingersoll-Ross interest-rate tree
floorbycirPrice floor instrument from Cox-Ingersoll-Ross interest-rate tree
oasbycirDetermine option adjusted spread using Cox-Ingersoll-Ross model
optbndbycir Price bond option from Cox-Ingersoll-Ross interest-rate tree
optfloatbycirPrice options on floating-rate notes for Cox-Ingersoll-Ross interest-rate tree
optembndbycirPrice bonds with embedded options by Cox-Ingersoll-Ross interest-rate tree
optemfloatbycirPrice embedded option on floating-rate note for Cox-Ingersoll-Ross interest-rate tree
rangefloatbycirPrice range floating note using Cox-Ingersoll-Ross tree
swapbycirPrice swap instrument from Cox-Ingersoll-Ross interest-rate tree
swaptionbycirPrice swaption from Cox-Ingersoll-Ross 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.

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 Instruments

Interest-rate instruments supported by Financial Instruments Toolbox.