Main Content

Heath-Jarrow-Morton Tree Setup

Propagate Heath-Jarrow-Morton interest-rate tree

Functions

hjmtimespecSpecify time structure for Heath-Jarrow-Morton interest-rate tree
hjmtreeBuild Heath-Jarrow-Morton interest-rate tree
hjmvolspecSpecify Heath-Jarrow-Morton interest-rate volatility process

Examples and How To

Concepts

  • 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.