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Specify Black-Karasinski interest-rate volatility process


Volspec = bkvolspec(ValuationDate, VolDates, VolCurve,
AlphaDates, AlphaCurve, InterpMethod)



Scalar value representing the observation date of the investment horizon.


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


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.


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


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


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


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


collapse all

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';
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'

Related Examples

Introduced before R2006a

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