Financial Derivatives Toolbox | ![]() ![]() |
Build an HJM forward rate tree
Syntax
HJMTree = hjmtree(VolSpec, RateSpec, TimeSpec)
Arguments
VolSpec |
Volatility process specification. Sets the number of factors and the rules for computing the volatility sigma(t,T) for each factor. See hjmvolspec for information on the volatility process. |
RateSpec |
Interest rate specification for the initial rate curve. See intenvset for information on declaring an interest rate variable. |
TimeSpec |
Tree time layout specification. Defines the observation dates of the HJM tree and the Compounding rule for date to time mapping and price-yield formulas. See hjmtimespec for information on the tree structure. |
Description
HJMTree = hjmtree(VolSpec,
creates a structure containing time and forward rate information on a bushy tree.RateSpec
, TimeSpec)
See Also
hjmprice
, hjmtimespec
, hjmvolspec
, intenvset
![]() | hjmtimespec | hjmvolspec | ![]() |