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itttimespec

Specify time structure using implied trinomial tree (ITT)

Syntax

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods)

Arguments

ValuationDate

Scalar date marking the pricing date and first observation in the tree. Specify ValuationDate as a serial date number or date character vector.

Maturity

Scalar date marking the depth of the tree.

NumPeriods

Scalar that determines how many time steps are in the tree.

Description

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods) creates the structure specifying the time layout for an ITT tree.

Examples

collapse all

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

ValuationDate = '1-July-2006';
Maturity = '1-July-2010';
TimeSpec = itttimespec(ValuationDate, Maturity, 4)
TimeSpec = struct with fields:
           FinObj: 'ITTTimeSpec'
    ValuationDate: 732859
         Maturity: 734320
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [732859 733224 733589 733954 734320]

Introduced in R2007a

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