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 character vector.
Number of levels (depth) of the tree. A number of levels
(Optional) Scalar value representing the rate at which
the input zero rates were compounded when annualized. Default =
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
hjmtree. The state
observation dates are
Because a forward rate is stored at the last observation, the tree
can value cash flows out to
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 = struct with fields: FinObj: 'HJMTimeSpec' ValuationDate: 730135 Maturity: [8×1 double] Compounding: -1 Basis: 0 EndMonthRule: 1