Financial Derivatives Toolbox

Index

A

arbitrary cash flow instruments

B

input arguments

Black-Derman-Toy (BDT) model

bond

C

D

dependent constraints

deterministic model

discount factors

F

fixed rate note, defined

floating rate note, defined

G

H

Heath-Jarrow-Morton (HJM) model

Heath-Jarrow-Morton tree

hedging

HJM pricing options structure

input arguments

forms of volatility

I

inconsistent constraints

creating an instrument

creating new instruments

instrument

instrument constructor

instrument index

interest rate models

interest rate term structure, defined

inverse discount <1> <2>

L

least squares problem

M

model

Black-Derman-Toy (BDT)

Heath-Jarrow-Morton (HJM)

O

observation time zero

Options

P

per-dollar sensitivities

calculating <1> <2>

price tree structure

Price vector

pricing options

default structure

pricing options structure

R

rate specification

creating inverse discounts

RateSpec

recombining tree

S

sensitivities

per-dollar, example of

per-dollar, viewing

stochastic model

T

TimeSpec

tree

displaying BDT trees

displaying HJM trees

examining values with

TypeString argument

typographical conventions (table)

U

under-determined system

V

volatility

VolSpec

Glossary Derivtool