mmktbyhjm

Create money-market tree from Heath-Jarrow-Morton interest-rate tree

Syntax

MMktTree = mmktbyhjm(HJMTree)

Description

MMktTree = mmktbyhjm(HJMTree) creates a money-market tree from an interest-rate tree structure created by hjmtree.

Examples

Create Money-Market Tree from Heath-Jarrow-Morton Interest-Rate Tree

Use a hjmtree from the deriv.mat and create a money-market tree from the HJM interest-rate tree.

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)

Input Arguments

HJMTree — HJM interest-rate tree structure

struct

HJM interest-rate tree structure, specified by hjmtree.

Data Types: struct

Output Arguments

MMktTree — Money-market tree

struct

Money-market tree, returned as a tree structure.