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Black-Derman-Toy Tree Setup

Propagate Black-Derman-Toy interest-rate tree

The Black-Derman-Toy (BDT) model is a discrete-time, binomial tree framework that allows for the modeling of the evolution of interest rates over time. Setup a BDT interest-rate tree model using the following functions:

Functions

bdttimespecSpecify time structure for Black-Derman-Toy interest-rate tree
bdttreeBuild Black-Derman-Toy interest-rate tree
bdtvolspecSpecify Black-Derman-Toy interest-rate volatility process

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