cirtree
Build a Cox-Ingersoll-Ross interest-rate tree
Description
builds a Cox-Ingersoll-Ross (CIR) interest-rate tree. The CIR tree uses a CIR++ model with
the Nawalka-Beliaeva (NB) approach.CIRTree
= cirtree(VolSpec
,RateSpec
,TimeSpec
)
Note
Alternatively, you can use the Cap
object to price cap
instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
Examples
Input Arguments
Output Arguments
Version History
Introduced in R2018a