Specify time structure for Black-Karasinski tree
TimeSpec = bktimespec(ValuationDate,Maturity,Compounding)
Scalar date marking the pricing date and first observation in the tree. Specify as a 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 = bktimespec(ValuationDate,Maturity,Compounding) sets
the number of levels and node times for a BK tree and determines the
mapping between dates and time for rate quoting.
TimeSpec is a structure specifying the time
bktree. 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 four-period tree with annual nodes using annual compounding to report rates.
ValuationDate = 'Jan-1-2004'; Maturity = ['12-31-2004'; '12-31-2005'; '12-31-2006'; '12-31-2007']; Compounding = 1; TimeSpec = bktimespec(ValuationDate, Maturity, Compounding)
TimeSpec = struct with fields: FinObj: 'BKTimeSpec' ValuationDate: 731947 Maturity: [4x1 double] Compounding: 1 Basis: 0 EndMonthRule: 1