Hull-White Tree Analysis
The Hull-White (HW) model assumes that the short rate follows a mean-reverting stochastic process, which means that interest rates will tend to move towards a long-term average over time. Price and analyze interest-rate instruments using an HW tree model with the following functions:
Functions
bondbyhw | Price bond from Hull-White interest-rate tree |
capbyhw | Price cap instrument from Hull-White interest-rate tree |
cfbyhw | Price cash flows from Hull-White interest-rate tree |
fixedbyhw | Price fixed-rate note from Hull-White interest-rate tree |
floatbyhw | Price floating-rate note from Hull-White interest-rate tree |
floorbyhw | Price floor instrument from Hull-White interest-rate tree |
hwcalbycap | Calibrate Hull-White tree using caps |
hwcalbyfloor | Calibrate Hull-White tree using floors |
hwprice | Instrument prices from Hull-White interest-rate tree |
hwsens | Instrument prices and sensitivities from Hull-White interest-rate tree |
oasbyhw | Determine option adjusted spread using Hull-White model |
optbndbyhw | Price bond option from Hull-White interest-rate tree |
optfloatbyhw | Price options on floating-rate notes for Hull-White interest-rate tree |
optembndbyhw | Price bonds with embedded options by Hull-White interest-rate tree |
optemfloatbyhw | Price embedded option on floating-rate note for Hull-White interest-rate tree |
rangefloatbyhw | Price range floating note using Hull-White tree |
swapbyhw | Price swap instrument from Hull-White interest-rate tree |
swaptionbyhw | Price swaption from Hull-White interest-rate tree |
Topics
- Pricing Using Interest-Rate Tree Models
The portfolio pricing functions
hjmpriceandbdtpricecalculate 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.
- Calibrating Hull-White Model Using Market Data
The pricing of interest-rate derivative securities relies on models that describe the underlying process.
- Use treeviewer to Examine HWTree and PriceTree When Pricing European Callable Bond
This example demonstrates how to use
treeviewerto 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.
