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Create money-market tree from Heath-Jarrow-Morton interest-rate tree
MMktTree = mmktbyhjm(HJMTree)
example
MMktTree = mmktbyhjm(HJMTree) creates a money-market tree from an interest-rate tree structure created by hjmtree.
MMktTree
HJMTree
hjmtree
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Use a hjmtree from the deriv.mat and create a money-market tree from the HJM interest-rate tree.
deriv.mat
load deriv.mat; MMktTree = mmktbyhjm(HJMTree)
MMktTree = struct with fields: FinObj: 'HJMMmktTree' tObs: [0 1 2 3 4] MMktTree: {[1] [1x1x2 double] [1x2x2 double] [1x4x2 double]}
treeviewer(MMktTree)
HJM interest-rate tree structure, specified by hjmtree.
Data Types: struct
struct
Money-market tree, returned as a tree structure.
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