Main Content

Black-Karasinski Tree Setup

Propagate Black-Karasinski interest-rate tree

Functions

bktimespecSpecify time structure for Black-Karasinski tree
bktreeBuild Black-Karasinski interest-rate tree
bkvolspecSpecify Black-Karasinski interest-rate volatility process

Examples and How To

Concepts

  • Overview of Interest-Rate Tree Models

    Financial Instruments Toolbox computes prices and sensitivities of interest-rate contingent claims based on several methods of modeling changes in interest rates over time.