Financial Derivatives Toolbox™

itttimespec - Specify time structure using implied trinomial tree (ITT)

Syntax

TimeSpec = itttimespec(ValuationDate, Maturity, NumPeriods)

`ValuationDate`	Scalar date marking the pricing date and first observation in the tree. Specify `ValuationDate` as a serial date number or date string.
`Maturity`	Scalar date marking the depth of the tree.
`NumPeriods`	Scalar that determines how many time steps are in the tree.

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

Specify a 4-period tree with time steps of 1 year.

ValuationDate = '1-July-2006';
Maturity = '1-July-2010';
TimeSpec = itttimespec(ValuationDate, Maturity, 4);