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bdtvolspec

Specify Black-Derman-Toy interest-rate volatility process

Syntax

Volspec = bdtvolspec(ValuationDate, VolDates, VolCurve,
InterpMethod)

Arguments

ValuationDate

Scalar value representing the observation date of the investment horizon.

VolDates

Number of points (NPOINTS)-by-1 vector of yield volatility end dates.

VolCurve

NPOINTS-by-1 vector of yield volatility values in decimal form. The term structure of VolCurve is the yield volatility represented by the value of the volatility of the yield from time t = 0 to time t + i, where i is any point within the volatility curve.

InterpMethod

(Optional) Interpolation method. Default is 'linear'. See interp1 for more information.

Description

Volspec = bdtvolspec(ValuationDate, VolDates, VolCurve,
InterpMethod)
creates a structure specifying the volatility for bdttree.

Examples

collapse all

This example shows how to create a BDT volatility specification (VolSpec) using the following data.

ValuationDate = '01-01-2000';
EndDates = ['01-01-2001'; '01-01-2002'; '01-01-2003';
'01-01-2004'; '01-01-2005'];
Volatility = [.2; .19; .18; .17; .16];

BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Volatility)
BDTVolSpec = 

  struct with fields:

             FinObj: 'BDTVolSpec'
      ValuationDate: 730486
           VolDates: [5×1 double]
           VolCurve: [5×1 double]
    VolInterpMethod: 'linear'

Related Examples

See Also

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Introduced before R2006a

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