ZeroRates = [ 0.035;0.04;0.045];
Compounding = 1;
StartDates = ['jan-1-2007';'jan-1-2008';'jan-1-2009'];
EndDates   = ['jan-1-2008';'jan-1-2009';'jan-1-2010'];
ValuationDate = 'jan-1-2007';

RateSpec = intenvset('Rates', ZeroRates, 'StartDates', ValuationDate, 'EndDates', ...
EndDates, 'Compounding', Compounding, 'ValuationDate', ValuationDate)

VolDates = ['jan-1-2008';'jan-1-2009';'jan-1-2010'];
VolCurve = 0.01;
AlphaDates = 'jan-1-2010';
AlphaCurve = 0.1;
HWVolSpec = hwvolspec(ValuationDate, VolDates, VolCurve, AlphaDates, AlphaCurve)

HWTimeSpec = hwtimespec(ValuationDate, EndDates, Compounding)

HWTree = hwtree(HWVolSpec, RateSpec, HWTimeSpec)

BondSettlement = 'jan-1-2007';
BondMaturity   = 'jan-1-2010'; 
CouponRate = 0.0525;
Period = 1;
OptSpec = 'put'; 
Strike = [100];  
ExerciseDates = {'jan-1-2008' '01-Jan-2010'}; 
AmericanOpt = 1;

PricePutBondHW = optembndbyhw(HWTree, CouponRate, BondSettlement, BondMaturity,...
OptSpec, Strike, ExerciseDates,'Period', 1, 'AmericanOpt', 1)

Rates = [0.035; 0.042147; 0.047345; 0.052707];
ValuationDate = 'Jan-1-2010';
StartDates = ValuationDate;
EndDates = {'Jan-1-2011'; 'Jan-1-2012'; 'Jan-1-2013'; 'Jan-1-2014'};
Compounding = 1;

% Create RateSpec
RS = intenvset('ValuationDate', ValuationDate, 'StartDates', StartDates,...
'EndDates', EndDates,'Rates', Rates, 'Compounding', Compounding);

% Instrument
Settle = '01-Jan-2010';
Maturity = {'01-Jan-2013';'01-Jan-2014'};
CouponRate = {{'01-Jan-2012' .0425;'01-Jan-2014' .0750}};  
OptSpec='call';
Strike=100;
ExerciseDates='01-Jan-2012';  %Callable in two years

% Build the tree with the following data
VolDates = ['1-Jan-2011'; '1-Jan-2012'; '1-Jan-2013'; '1-Jan-2014'];
VolCurve = 0.01;
AlphaDates = '01-01-2014';
AlphaCurve = 0.1;


HWVolSpec = hwvolspec(RS.ValuationDate, VolDates, VolCurve,... 
AlphaDates, AlphaCurve);
HWTimeSpec = hwtimespec(RS.ValuationDate, VolDates, Compounding);
HWT = hwtree(HWVolSpec, RS, HWTimeSpec);

% The first row corresponds to the price of the callable bond with maturity
% of three years. The second row corresponds to the price of the callable 
% bond with maturity of four years.

PHW= optembndbyhw(HWT, CouponRate,  Settle, Maturity,OptSpec, Strike,...
ExerciseDates, 'Period', 1)

Rates = [0.1;0.1;0.1;0.1];
ValuationDate = 'Jan-1-2011';
StartDates = ValuationDate;
EndDates = {'Jan-1-2012'; 'Jan-1-2013'; 'Jan-1-2014'; 'Jan-1-2015'};
Compounding = 1;

% Create RateSpec
RateSpec = intenvset('ValuationDate', ValuationDate, 'StartDates',...
StartDates, 'EndDates', EndDates,'Rates', Rates, 'Compounding', Compounding);

% Build the HW tree
% The data to build the tree is as follows:
VolDates = ['1-Jan-2012'; '1-Jan-2013'; '1-Jan-2014';'1-Jan-2015'];
VolCurve = 0.01;
AlphaDates = '01-01-2015';
AlphaCurve = 0.1;

HWVolSpec = hwvolspec(RateSpec.ValuationDate, VolDates, VolCurve,... 
AlphaDates, AlphaCurve);
HWTimeSpec = hwtimespec(RateSpec.ValuationDate, VolDates, Compounding);
HWT = hwtree(HWVolSpec, RateSpec, HWTimeSpec);


% Instrument
% The bond has a coupon rate of 9%, a period of one year and matures in
% 1-Jan-2013. Face decreases 1/3 after the first year.
CouponRate = 0.09;
Settle = 'Jan-1-2011';
Maturity =  'Jan-1-2013';
Period = 1;
Face = { ...        
            {'Jan-1-2012'  100; ...
             'Jan-1-2013'   66.6666}; ...
        };

% Option provision
OptSpec = 'call'; 
Strike = 99;
ExerciseDates = 'Jan-1-2012';

% Price of non-sinking fund bond. 
PNSF = bondbyhw(HWT, CouponRate, Settle, Maturity, Period)

PriceSF = optembndbyhw(HWT, CouponRate, Settle, Maturity,...
OptSpec, Strike, ExerciseDates, 'Period', Period, 'Face', Face)