Financial Derivatives Toolbox™

bkvolspec - Specify Black-Karasinski interest-rate volatility process

Syntax

Volspec = bkvolspec(ValuationDate, VolDates, VolCurve, AlphaDates, AlphaCurve, InterpMethod)

Arguments

`ValuationDate`	Scalar value representing the observation date of the investment horizon.
`VolDates`	Number of points `(NPOINTS)`-by-`1` vector of yield volatility end dates.
`VolCurve`	`NPOINTS`-by-`1` vector of yield volatility values in decimal form.
`AlphaDates`	`NPOINTS`-by-`1` vector of mean reversion end dates.
`AlphaCurve`	`NPOINTS`-by-`1` vector of positive mean reversion values in decimal form.
`InterpMethod`	(Optional) Interpolation method. Default is `'linear'`. See `interp1` for more information.

Description

Volspec = bkvolspec(ValuationDate, VolDates, VolCurve,AlphaDates, AlphaCurve, InterpMethod) creates a structure specifying the volatility for bktree.

Examples

Using the data provided, create a Black-Karasinski volatility specification (VolSpec).

ValuationDate = '01-01-2004';
StartDate = ValuationDate;
VolDates = ['12-31-2004'; '12-31-2005'; '12-31-2006'; 
'12-31-2007'];
VolCurve = 0.01;
AlphaDates = '01-01-2008';
AlphaCurve = 0.1;
BKVolSpec = bkvolspec(ValuationDate, VolDates, VolCurve,...
AlphaDates, AlphaCurve)

BKVolSpec = 

             FinObj: 'BKVolSpec'
      ValuationDate: 731947
           VolDates: [4x1 double]
           VolCurve: [4x1 double]
         AlphaCurve: 0.1000
         AlphaDates: 733408
    VolInterpMethod: 'linear'

bkvolspec - Specify Black-Karasinski interest-rate volatility process

Syntax

Arguments

Description

Examples

See Also