Financial Derivatives Toolbox    

Heath-Jarrow-Morton Utilities
bondbyhjm
 Price bond by HJM interest rate tree
capbyhjm
 Price cap instrument by HJM interest rate tree
cfbyhjm
 Price arbitrary set of cash flows by HJM interest rate tree
fixedbyhjm
 Price fixed rate note by HJM interest rate tree
floatbyhjm
 Price floating rate note by HJM interest rate tree
floorbyhjm
 Price floor instrument by HJM interest rate tree
mmktbyhjm
 Create money market tree from HJM
optbndbyhjm
 Price bond option by HJM interest rate tree
swapbyhjm
 Price swap instrument by HJM interest rate tree

Black-Derman-Toy Utilities
bondbybdt
 Price bond by BDT interest rate tree
capbybdt
 Price cap by BDT interest rate tree
cfbybdt
 Price arbitrary set of cash flows by BDT interest rate tree
fixedbybdt
 Price fixed rate note by BDT interest rate tree
floatbybdt
 Price floating rate note by BDT interest rate tree
floorbybdt
 Price floor instrument by BDT interest rate tree
mmktbybdt
 Create money market tree from BDT
optbndbybdt
 Price bond option by BDT interest rate tree
swapbybdt
 Price swap instrument by BDT interest rate tree


  Fixed Income Pricing and Sensitivity from Heath-Jarrow-Morton Tree Heath-Jarrow-Morton Bushy Tree Manipulation