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crrtimespec

Specify time structure for Cox-Ross-Rubinstein tree

Syntax

TimeSpec = crrtimespec(ValuationDate, Maturity, NumPeriods)

Arguments

ValuationDate

Scalar date indicating the pricing date and first observation in the tree. A serial date number or date string.

Maturity

Scalar date indicating depth of the tree.

NumPeriods

Scalar determining number of time steps in the tree.

Description

TimeSpec = crrtimespec(ValuationDate, Maturity, NumPeriods) sets the number of levels and node times for a CRR binomial tree.

TimeSpec is a structure specifying the time layout for a CRR binomial tree.

Examples

expand all

Set the Number of Levels and Node Times for a CRR Binomial Tree

This example shows how to specify a four-period CRR tree with time steps of 1 year.

ValuationDate = '1-July-2002';
Maturity = '1-July-2006';
TimeSpec = crrtimespec(ValuationDate, Maturity, 4)
TimeSpec = 

           FinObj: 'BinTimeSpec'
    ValuationDate: 731398
         Maturity: 732859
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [731398 731763 732128 732493 732859]

See Also

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