| Financial Derivitives Toolbox Release Notes | |
New Functions in Version 2.0
The following set of functions has been added to the toolbox to support operations with the BDT model. These functions are the counterparts of the HJM functions from Version 1.
Fixed Income Pricing and Sensitivity from Black-Derman-Toy Tree
| Function |
Purpose |
bdtprice |
Fixed income instrument prices by BDT interest rate tree |
bdtsens |
Fixed income instrument prices and sensitivities by BDT interest rate tree |
bdttimespec |
Specify time structure for BDT interest rate tree |
bdttree |
Construct BDT interest rate tree |
bdtvolspec |
BDT volatility process specification |
Black-Derman-Toy Utilities
| Function |
Purpose |
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 |
Black-Derman-Toy Recombining Tree Manipulation
| Function |
Purpose |
mktree |
Create recombining tree |
treepath |
Extract entries from node of recombining tree |
treeshape |
Retrieve shape of recombining tree |
| | Financial Derivatives Toolbox 2.0 Release Notes | Financial Derivatives Toolbox 1.0 Release Notes | |