Documentation |
Specify time structure for Heath-Jarrow-Morton interest-rate tree
TimeSpec = hjmtimespec(ValuationDate,
Maturity, Compounding)
ValuationDate | Scalar date marking the pricing date and first observation in the tree. Specify as serial date number or date string. |
Maturity | Number of levels (depth) of the tree. A number of levels (NLEVELS)-by-1 vector of dates marking the cash flow dates of the tree. Cash flows with these maturities fall on tree nodes. Maturity should be in increasing order. |
(Optional) Scalar value representing the rate at which the input zero rates were compounded when annualized. Default = 1. This argument determines the formula for the discount factors: Compounding = 1, 2, 3, 4, 6, 12 Disc = (1 + Z/F)^(-T), where F is the compounding frequency, Z is the zero rate, and T is the time in periodic units; for example, T = F is 1 year. Compounding = 365 Disc = (1 + Z/F)^(-T), where F is the number of days in the basis year and T is a number of days elapsed computed by basis. Compounding = -1 Disc = exp(-T*Z), where T is time in years. |
TimeSpec = hjmtimespec(ValuationDate, Maturity, Compounding) sets the number of levels and node times for an HJM tree and determines the mapping between dates and time for rate quoting.
TimeSpec is a structure specifying the time layout for hjmtree. The state observation dates are [Settle; Maturity(1:end-1)]. Because a forward rate is stored at the last observation, the tree can value cash flows out to Maturity.