fast CIR tree

zan · October 16th, 2001, 7:21 pm

I have a naive question: I have seen Hull deviced a tree for either lognormal and normal short interest rate models (really based on normal tree, see p586 of his book (4th ed)). This way he could match the interest rate term structure through simple formulas. But I haven't seen similar method applied to CIR model as he notices simple transformation from normal to sqrt is not valid. Anybody knows how to build a CIR tree that can match the term structure fast (and preferrably analytically)? Zan