Contents

Index

• Getting Started

• Portfolio Hedge Allocation

• Interest-Rate Term Structure

• Heath-Jarrow-Morton Trees

• Black-Derman-Toy Trees

• Black-Karasinski Trees

• Cox-Ross-Rubinstein Trees

• Equal Probabilities Binomial Trees

• Hull-White Trees

• Implied Trinomial Tree

• Heath-Jarrow-Morton Utilities

• Black-Derman-Toy Utilities

• Black-Karasinski Utilities

• Cox-Ross-Rubinstein Utilities

• Equal Probabilities Tree Utilities

• Implied Trinomial Tree Utilities

• Hull-White Utilities

• Tree Manipulation

• Derivatives Pricing Options

• Pricing and Sensitivity Using Black-Scholes Option Pricing Model

• Pricing and Sensitivity Using Black Option Pricing Model

• Pricing and Sensitivity Using Longstaff-Schwartz Option Pricing Model

• Pricing and Sensitivity Using Nengjiu Ju Approximation Model

• Pricing and Sensitivity Using Role-Geske-Whaley Option Pricing Model

• Pricing and Sensitivity Using Bjerksund-Stensland Option Pricing Model

• Pricing and Sensitivity Using Stulz Option Pricing Model

• Instrument Portfolio Handling

• Financial Object Structures

• Interest Term Structure

• Date

• Graphical Display

• Release Notes

Learn more about Financial Derivatives Toolbox

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

Syntax

TimeSpec = itttimespec(ValuationDate, Maturity, NumPeriods)

Arguments

`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.

Description

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

Examples

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

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

See Also

itttree, stockspec

ittsens

itttree

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