Hull-White Tree Setup
Functions
hwtimespec | Specify time structure for Hull-White interest-rate tree |
hwtree | Build Hull-White interest-rate tree |
hwvolspec | Specify Hull-White 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.
Calibrating Hull-White Model Using Market Data
The pricing of interest-rate derivative securities relies on models that describe the underlying process.
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.
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