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eqptimespec

Specify time structure for Equal Probabilities binomial tree

Syntax

TimeSpec = eqptimespec(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 = eqptimespec(ValuationDate, Maturity, NumPeriods) sets the number of levels and node times for an equal probabilities tree.

TimeSpec is a structure specifying the time layout for an equal probabilities tree.

Examples

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Set the Number of Levels and Node Times for an EQP Tree

This example shows how to set the number of levels and node times for an EQP tree by specifying a four-period tree with time steps of 1 year.

ValuationDate = '1-July-2002';
Maturity = '1-July-2006';
TimeSpec = eqptimespec(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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