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bkvolspec

Specify Black-Karasinski interest-rate volatility process

Syntax

Volspec = bkvolspec(ValuationDate,VolDates,VolCurve,AlphaDates,AlphaCurve,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 annualized 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.

AlphaDates

NPOINTS-by-1 vector of mean reversion end dates.

AlphaCurve

NPOINTS-by-1 vector of positive mean reversion values in decimal form.

InterpMethod

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

Description

Volspec = bkvolspec(ValuationDate,VolDates,VolCurve,AlphaDates,AlphaCurve,InterpMethod) creates a structure specifying the volatility for bktree.

Examples

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

ValuationDate = '01-01-2004';
StartDate = ValuationDate;
VolDates = ['12-31-2004'; '12-31-2005'; '12-31-2006'; 
'12-31-2007'];
VolCurve = 0.01;
AlphaDates = '01-01-2008';
AlphaCurve = 0.1;
BKVolSpec = bkvolspec(ValuationDate, VolDates, VolCurve,...
AlphaDates, AlphaCurve)
BKVolSpec = struct with fields:
             FinObj: 'BKVolSpec'
      ValuationDate: 731947
           VolDates: [4×1 double]
           VolCurve: [4×1 double]
         AlphaCurve: 0.1000
         AlphaDates: 733408
    VolInterpMethod: 'linear'

Introduced before R2006a

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