stttimespec

Specify time structure for standard trinomial tree

Syntax

TimeSpec = stttimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = stttimespec(ValuationDate,Maturity,NumPeriods) creates a time spec for a standard trinomial (STT) tree.

Examples

Create a stttimespec to Build a STTTree

Create a RateSpec.

StartDates = 'Jan-1-2014'; 
EndDates = 'Jan-1-2018'; 
Rates = 0.025; 
Basis = 1; 
Compounding = -1;

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

RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: -1
             Disc: 0.9048
            Rates: 0.0250
         EndTimes: 4
       StartTimes: 0
         EndDates: 737061
       StartDates: 735600
    ValuationDate: 735600
            Basis: 1
     EndMonthRule: 1

Create a StockSpec.

AssetPrice = 110; 
Sigma = 0.22; 
Div = 0.02; 
StockSpec = stockspec(Sigma, AssetPrice, 'continuous', Div)

StockSpec = struct with fields:
             FinObj: 'StockSpec'
              Sigma: 0.2200
         AssetPrice: 110
       DividendType: {'continuous'}
    DividendAmounts: 0.0200
    ExDividendDates: []

Create a STTTimespec and STTTree.

NumPeriods = length(cfdates(StartDates,EndDates,12));
TimeSpec = stttimespec(StartDates, EndDates, NumPeriods)

TimeSpec = struct with fields:
           FinObj: 'STTTimeSpec'
    ValuationDate: 735600
         Maturity: 737061
       NumPeriods: 48
            Basis: 0
     EndMonthRule: 1
             tObs: [1x49 double]
             dObs: [1x49 double]

STTT = stttree(StockSpec, RateSpec, TimeSpec)

STTT = struct with fields:
       FinObj: 'STStockTree'
    StockSpec: [1x1 struct]
     TimeSpec: [1x1 struct]
     RateSpec: [1x1 struct]
         tObs: [1x49 double]
         dObs: [1x49 double]
        STree: {1x49 cell}
        Probs: {1x48 cell}

Input Arguments

ValuationDate — Date marking the pricing date and first observation tree

serial date number | date character vector

Date marking the pricing date and first observation in the tree, specified as a scalar using a serial date number or date character vector.

Data Types: double | char

Maturity — Date marking the depth of tree

serial date number | date character vector

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

Data Types: double | char

NumPeriods — Determines how many time steps are in tree

nonnegative integer

Determines how many time steps are in tree, specified as a scalar using a nonnegative integer value.

Data Types: double

Output Arguments

TimeSpec — Time layout for standard trinomial (STT) tree

structure

Time layout for standard trinomial (STT) tree, returned as a structure.