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Black-Karasinski Tree Analysis

Price and analyze Black-Karasinski interest-rate instrument

The Black-Karasinski (BK) model assumes that the short rate follows a log-normal process. This means that the logarithm of the short rate is normally distributed, which ensures that interest rates remain positive. Price and analyze interest-rate instruments using a BK tree model with the following functions:

Functions

bkpriceInstrument prices from Black-Karasinski interest-rate tree
bksensInstrument prices and sensitivities from Black-Karasinski interest-rate tree
bondbybkPrice bond from Black-Karasinski interest-rate tree
capbybkPrice cap instrument from Black-Karasinski interest-rate tree
cfbybkPrice cash flows from Black-Karasinski interest-rate tree
fixedbybkPrice fixed-rate note from Black-Karasinski interest-rate tree
floatbybkPrice floating-rate note from Black-Karasinski interest-rate tree
floorbybkPrice floor instrument from Black-Karasinski interest-rate tree
oasbybkDetermine option adjusted spread using Black-Karasinski model
optbndbybk Price bond option from Black-Karasinski interest-rate tree
optfloatbybkPrice options on floating-rate notes for Black-Karasinski interest-rate tree
optembndbybkPrice bonds with embedded options by Black-Karasinski interest-rate tree
optemfloatbybkPrice embedded option on floating-rate note for Black-Karasinski interest-rate tree
rangefloatbybkPrice range floating note using Black-Karasinski tree
swapbybkPrice swap instrument from Black-Karasinski interest-rate tree
swaptionbybkPrice swaption from Black-Karasinski interest-rate tree

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