Scalar date marking the pricing date and first observation
in the tree. Specify as a serial date number or date string.

Maturity

Number of levels (depth) of the tree. A number of levels
(NLEVELS)-by-1 vector of dates
marking the cash flow dates of the tree. Cash flows with these maturities
fall on tree nodes. Maturity should be in increasing order.

Compounding

(Optional) Scalar value representing the rate at which
the input zero rates were compounded when annualized. Default = -1 (continuous compounding). This argument
determines the formula for the discount factors:

Compounding = 1, 2, 3, 4, 6, 12 = F

Disc
= (1 + Z/F)^(-T), where F is the compounding
frequency, Z is the zero rate, and T is
the time in periodic units; for example, T = F is
1 year.

Compounding = 365

Disc
= (1 + Z/F)^(-T), where F is the number
of days in the basis year and T is a number of
days elapsed computed by basis.

Compounding = -1

Disc
= exp(-T*Z), where T is time in years.

Description

TimeSpec = bktimespec(ValuationDate,
Maturity, Compounding) sets the number of levels and node
times for an BK tree and determines the mapping between dates and
time for rate quoting.

TimeSpec is a structure specifying the time
layout for bktree. The state
observation dates are [Settle; Maturity(1:end-1)].
Because a forward rate is stored at the last observation, the tree
can value cash flows out to Maturity.