Financial Derivatives Toolbox™

bushpath - Extract entries from node of bushy tree

Syntax

Values = bushpath(Tree, BranchList)

Arguments

Description

Values = bushpath(Tree, BranchList) extracts entries of a node of a bushy tree. The node path is described by the sequence of branchings taken, starting at the root. The top branch is number 1, the second-to-top is 2, and so on. Set the branch sequence to zero to obtain the entries at the root node.

Values is a number of values (NUMVALS)-by-NUMPATHS matrix containing the retrieved entries of a bushy tree.

Examples

Create an HJM tree by loading the example file.

load deriv.mat; 

Then

FwdRates = bushpath(HJMTree.FwdTree, [1 2 1]) 

returns the rates at the tree nodes located by taking the up branch, then the down branch, and finally the up branch again.

FwdRates = 

    1.0356
    1.0364
    1.0526
    1.0463 

You can visualize this with the treeviewer function.

treeviewer(HJMTree)

See Also

bushshape, mkbush

bondbyzero

bushshape