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Hull-White Tree Analysis

Price and analyze Hull-White interest-rate instrument

Price and analyze interest-rate instruments using a Hull-White tree model.

Functions

bondbyhwPrice bond from Hull-White interest-rate tree
capbyhwPrice cap instrument from Hull-White interest-rate tree
cfbyhwPrice cash flows from Hull-White interest-rate tree
fixedbyhwPrice fixed-rate note from Hull-White interest-rate tree
floatbyhwPrice floating-rate note from Hull-White interest-rate tree
floorbyhwPrice floor instrument from Hull-White interest-rate tree
hwcalbycapCalibrate Hull-White tree using caps
hwcalbyfloorCalibrate Hull-White tree using floors
hwpriceInstrument prices from Hull-White interest-rate tree
hwsensInstrument prices and sensitivities from Hull-White interest-rate tree
oasbyhwDetermine option adjusted spread using Hull-White model
optbndbyhw Price bond option from Hull-White interest-rate tree
optfloatbyhwPrice options on floating-rate notes for Hull-White interest-rate tree
optembndbyhwPrice bonds with embedded options by Hull-White interest-rate tree
optemfloatbyhwPrice embedded option on floating-rate note for Hull-White interest-rate tree
rangefloatbyhwPrice range floating note using Hull-White tree
swapbyhwPrice swap instrument from Hull-White interest-rate tree
swaptionbyhwPrice swaption from Hull-White interest-rate tree

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