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itttimespec

Specify time structure using implied trinomial tree (ITT)

Syntax

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods)

Description

example

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods) creates the structure specifying the time layout for an ITT tree (itttree).

Examples

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This example shows how to specify a four-period tree with time steps of 1 year.

ValuationDate = '1-July-2006';
Maturity = '1-July-2010';
TimeSpec = itttimespec(ValuationDate, Maturity, 4)
TimeSpec = struct with fields:
           FinObj: 'ITTTimeSpec'
    ValuationDate: 732859
         Maturity: 734320
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [732859 733224 733589 733954 734320]

Input Arguments

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Pricing date and first observation in the itttree, specified as a scalar date using a serial date number or date character vector.

Data Types: double | char

Date marking the depth of the itttree trinomial tree, specified as scalar serial date number or date character vector.

Data Types: double | char

Number of time steps in the itttree trinomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

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Specification for the time layout for itttree, returned as a structure.

Introduced in R2007a