Cox-Ingersoll-Ross Tree Analysis

Price and analyze Cox-Ingersoll-Ross interest-rate instrument

Price and analyze interest-rate instruments using a Cox-Ingersoll-Ross tree model.

Functions

`cirprice`	Instrument prices from Cox-Ingersoll-Ross interest-rate model
`cirsens`	Instrument sensitivities and prices from Cox-Ingersoll-Ross interest-rate model
`bondbycir`	Price bond from Cox-Ingersoll-Ross interest-rate tree
`capbycir`	Price cap instrument from Cox-Ingersoll-Ross interest-rate tree
`cfbycir`	Price cash flows from Cox-Ingersoll-Ross interest-rate tree
`fixedbycir`	Price fixed rate note from Cox-Ingersoll-Ross interest-rate tree
`floatbycir`	Price floating-rate note from Cox-Ingersoll-Ross interest-rate tree
`floorbycir`	Price floor instrument from Cox-Ingersoll-Ross interest-rate tree
`oasbycir`	Determine option adjusted spread using Cox-Ingersoll-Ross model
`optbndbycir`	Price bond option from Cox-Ingersoll-Ross interest-rate tree
`optfloatbycir`	Price options on floating-rate notes for Cox-Ingersoll-Ross interest-rate tree
`optembndbycir`	Price bonds with embedded options by Cox-Ingersoll-Ross interest-rate tree
`optemfloatbycir`	Price embedded option on floating-rate note for Cox-Ingersoll-Ross interest-rate tree
`rangefloatbycir`	Price range floating note using Cox-Ingersoll-Ross tree
`swapbycir`	Price swap instrument from Cox-Ingersoll-Ross interest-rate tree
`swaptionbycir`	Price swaption from Cox-Ingersoll-Ross interest-rate tree

Pricing Using Interest-Rate Tree Models
The portfolio pricing functions hjmprice and bdtprice calculate the price of any set of supported instruments, based on an interest-rate tree.
Computing Instrument Sensitivities
The delta, gamma, and vega sensitivities that Financial Instruments Toolbox™ computes are dollar sensitivities.
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 European 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.
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.
Supported Interest-Rate Instrument Functions
Interest-rate instrument functions supported by Financial Instruments Toolbox.