Hull-White Tree Setup

Propagate Hull-White interest-rate tree


hwtimespecSpecify time structure for Hull-White interest-rate tree
hwtreeBuild Hull-White interest-rate tree
hwvolspecSpecify 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.

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.


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.