Specify time structure for Black-Derman-Toy interest-rate tree
TimeSpec = bdttimespec(ValuationDate,Maturity,Compounding)
Scalar date marking the pricing date and first observation in the tree. Specify as serial date number or date character vector.
Number of levels (depth) of the tree. A number of levels
(Optional) Scalar value representing the rate at which
the input zero rates were compounded when annualized. Default =
TimeSpec = bdttimespec(ValuationDate,Maturity,Compounding) sets
the number of levels and node times for a BDT tree and determines
the mapping between dates and time for rate quoting.
TimeSpec is a structure specifying the time
bdttree. The state
observation dates are
Because a forward rate is stored at the last observation, the tree
can value cash flows out to
This example shows how to specify a five-period tree with annual nodes and use annual compounding to report rates.
Compounding = 1; ValuationDate = '01-01-2000'; Maturity = ['01-01-2001'; '01-01-2002'; '01-01-2003'; '01-01-2004'; '01-01-2005']; TimeSpec = bdttimespec(ValuationDate, Maturity, Compounding)
TimeSpec = struct with fields: FinObj: 'BDTTimeSpec' ValuationDate: 730486 Maturity: [5×1 double] Compounding: 1 Basis: 0 EndMonthRule: 1