Financial Derivatives Toolbox

Settings Menu

1. On the Settings menu:

• Choose Initial Curve to create or modify the initial interest rate term structure.
• Choose Sensitivities to define the set of sensitivities to be computed.
• Choose Volatility Model to create or modify the volatility model defining the evolution of interest rates in the HJM tree.
• Choose Tree Construction to define the time structure of the HJM tree.

2. Proceed to the Actions menu.

Model Menu

Initial Curve