Specify time structure for Heath-Jarrow-Morton interest-rate tree


TimeSpec = hjmtimespec(ValuationDate, Maturity, Compounding)



Scalar date marking the pricing date and first observation in the tree. Specify as serial date number or date string.


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 one 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.


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

This example shows how to specify an eight-period tree with semiannual nodes (every six months) and use exponential compounding to report rates.

Compounding = -1;
ValuationDate = '15-Jan-1999';
Maturity = datemnth(ValuationDate, 6*(1:8)');
TimeSpec = hjmtimespec(ValuationDate, Maturity, Compounding)
TimeSpec = 

           FinObj: 'HJMTimeSpec'
    ValuationDate: 730135
         Maturity: [8x1 double]
      Compounding: -1
            Basis: 0
     EndMonthRule: 1

Related Examples

See Also


Introduced before R2006a

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