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Cox-Ingersoll-Ross Tree Setup

Propagate Cox-Ingersoll-Ross interest-rate tree

Functions

cirtimespecSpecify time structure for Cox-Ingersoll-Ross tree
cirtreeBuild a Cox-Ingersoll-Ross interest-rate tree
cirvolspecSpecify Cox-Ingersoll-Ross 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.