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Heath-Jarrow-Morton Tree Analysis

Price and analyze Heath-Jarrow-Morton interest-rate instrument

Functions

bondbyhjmPrice bond from Heath-Jarrow-Morton interest-rate tree
capbyhjmPrice cap instrument from Heath-Jarrow-Morton interest-rate tree
cfbyhjmPrice cash flows from Heath-Jarrow-Morton interest-rate tree
fixedbyhjmPrice fixed-rate note from Heath-Jarrow-Morton interest-rate tree
floatbyhjmPrice floating-rate note from Heath-Jarrow-Morton interest-rate tree
floorbyhjmPrice floor instrument from Heath-Jarrow-Morton interest-rate tree
hjmpriceInstrument prices from Heath-Jarrow-Morton interest-rate tree
hjmsensInstrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree
mmktbyhjmCreate money-market tree from Heath-Jarrow-Morton interest-rate tree
oasbyhjmDetermine option adjusted spread using Heath-Jarrow-Morton model
optbndbyhjm Price bond option from Heath-Jarrow-Morton interest-rate tree
optfloatbyhjmPrice options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree
optembndbyhjmPrice bonds with embedded options by Heath-Jarrow-Morton interest-rate tree
optemfloatbyhjmPrice embedded option on floating-rate note for Heath-Jarrow-Morton interest-rate tree
rangefloatbyhjmPrice range floating note using Heath-Jarrow-Morton tree
swapbyhjmPrice swap instrument from Heath-Jarrow-Morton interest-rate tree
swaptionbyhjmPrice swaption from Heath-Jarrow-Morton interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

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.

Pricing Options Structure

The MATLAB® Options structure provides additional input to most pricing functions.

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.