Main Content

Heath-Jarrow-Morton Tree Setup

Propagate Heath-Jarrow-Morton interest-rate tree

The Heath-Jarrow-Morton (HJM) framework provides a way to model the evolution of interest rates over time and across different maturities. Setup an HJM interest-rate tree model using the following functions:

Functions

hjmtimespecSpecify time structure for Heath-Jarrow-Morton interest-rate tree
hjmtreeBuild Heath-Jarrow-Morton interest-rate tree
hjmvolspecSpecify Heath-Jarrow-Morton interest-rate volatility process

Topics