Cox-Ingersoll-Ross Tree Setup

Propagate Cox-Ingersoll-Ross interest-rate tree

Functions

cirtimespecSpecify time structure for Cox-Ingersoll-Ross tree
cirtreeBuild a Cox-Ingersoll-Ross interest-rate tree
cirvolspecSpecify Cox-Ingersoll-Ross interest-rate volatility process

Examples and How To

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.

Concepts

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.