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Heath-Jarrow-Morton Tree Analysis

Price and analyze Heath-Jarrow-Morton interest-rate instrument

Functions

bondbyhjmPrice bond from Heath-Jarrow-Morton interest-rate tree
capbyhjmPrice cap instrument from Heath-Jarrow-Morton interest-rate tree
cfbyhjmPrice cash flows from Heath-Jarrow-Morton interest-rate tree
fixedbyhjmPrice fixed-rate note from Heath-Jarrow-Morton interest-rate tree
floatbyhjmPrice floating-rate note from Heath-Jarrow-Morton interest-rate tree
floorbyhjmPrice floor instrument from Heath-Jarrow-Morton interest-rate tree
hjmpriceInstrument prices from Heath-Jarrow-Morton interest-rate tree
hjmsensInstrument prices and sensitivities from Heath-Jarrow-Morton interest-rate tree
mmktbyhjmCreate money-market tree from Heath-Jarrow-Morton interest-rate tree
oasbyhjmDetermine option adjusted spread using Heath-Jarrow-Morton model
optbndbyhjm Price bond option from Heath-Jarrow-Morton interest-rate tree
optfloatbyhjmPrice options on floating-rate notes for Heath-Jarrow-Morton interest-rate tree
optembndbyhjmPrice bonds with embedded options by Heath-Jarrow-Morton interest-rate tree
optemfloatbyhjmPrice embedded option on floating-rate note for Heath-Jarrow-Morton interest-rate tree
rangefloatbyhjmPrice range floating note using Heath-Jarrow-Morton tree
swapbyhjmPrice swap instrument from Heath-Jarrow-Morton interest-rate tree
swaptionbyhjmPrice swaption from Heath-Jarrow-Morton interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Examples and How To

Concepts

Interest-Rate Tree Models

  • 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.

Interest-Rate Instruments