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Cox-Ingersoll-Ross Tree Analysis

Price and analyze Cox-Ingersoll-Ross interest-rate instrument

The Cox-Ingersoll-Ross (CIR) model assumes that the short rate follows a mean-reverting stochastic process. This characteristic reflects the idea that interest rates will tend to move towards a long-term average level over time. Price and analyze interest-rate instruments using a CIR tree model with the following functions:

Functions

cirpriceInstrument prices from Cox-Ingersoll-Ross interest-rate model
cirsensInstrument sensitivities and prices from Cox-Ingersoll-Ross interest-rate model
bondbycirPrice bond from Cox-Ingersoll-Ross interest-rate tree
capbycirPrice cap instrument from Cox-Ingersoll-Ross interest-rate tree
cfbycirPrice cash flows from Cox-Ingersoll-Ross interest-rate tree
fixedbycirPrice fixed rate note from Cox-Ingersoll-Ross interest-rate tree
floatbycirPrice floating-rate note from Cox-Ingersoll-Ross interest-rate tree
floorbycirPrice floor instrument from Cox-Ingersoll-Ross interest-rate tree
oasbycirDetermine option adjusted spread using Cox-Ingersoll-Ross model
optbndbycir Price bond option from Cox-Ingersoll-Ross interest-rate tree
optfloatbycirPrice options on floating-rate notes for Cox-Ingersoll-Ross interest-rate tree
optembndbycirPrice bonds with embedded options by Cox-Ingersoll-Ross interest-rate tree
optemfloatbycirPrice embedded option on floating-rate note for Cox-Ingersoll-Ross interest-rate tree
rangefloatbycirPrice range floating note using Cox-Ingersoll-Ross tree
swapbycirPrice swap instrument from Cox-Ingersoll-Ross interest-rate tree
swaptionbycirPrice swaption from Cox-Ingersoll-Ross interest-rate tree

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