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Black-Karasinski Tree Setup

Propagate Black-Karasinski interest-rate tree


bktimespecSpecify time structure for Black-Karasinski tree
bktreeBuild Black-Karasinski interest-rate tree
bkvolspecSpecify Black-Karasinski interest-rate volatility process

Examples and How To


  • 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.