Financial Derivatives Toolbox™

crrtimespec - Specify time structure for CRR tree

Syntax

TimeSpec = crrtimespec(ValuationDate, Maturity, NumPeriods)

Arguments

`ValuationDate`	Scalar date indicating the pricing date and first observation in the tree. A serial date number or date string.
`Maturity`	Scalar date indicating depth of the tree.
`NumPeriods`	Scalar determining number of time steps in the tree.

Description

TimeSpec = crrtimespec(ValuationDate, Maturity, NumPeriods) sets the number of levels and node times for a CRR binomial tree.

TimeSpec is a structure specifying the time layout for a CRR binomial tree.

Examples

Specify a four-period CRR tree with time steps of 1 year.

ValuationDate = '1-July-2002';
Maturity = '1-July-2006';
TimeSpec = crrtimespec(ValuationDate, Maturity, 4)

TimeSpec = 

           FinObj: 'BinTimeSpec'
    ValuationDate: 731398
         Maturity: 732859
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
tObs: [0 1 2 3 4] 
dObs: [1x5 double]

crrtimespec - Specify time structure for CRR tree

Syntax

Arguments

Description

Examples

See Also