# Documentation

### This is machine translation

Translated by
Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materials including this page, select Japan from the country navigator on the bottom of this page.

# 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

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'; '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: [4x1 double] VolCurve: [4x1 double] AlphaCurve: 0.1000 AlphaDates: 733408 VolInterpMethod: 'linear' ```

#### Introduced before R2006a

Was this topic helpful?

Download ebook