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lrtimespec

Specify time structure for Leisen-Reimer binomial tree

Syntax

TimeSpec = lrtimespec(ValuationDate, Maturity, NumPeriods)

Description

TimeSpec = lrtimespec(ValuationDate, Maturity, NumPeriods) specifies a time structure for a Leisen-Reimer stock tree.

Input Arguments

ValuationDate

Scalar date marking the pricing date and first observation in the Leisen-Reimer stock tree. Specify ValuationDate as a serial date number or date string.

Maturity

Scalar date marking the depth of the Leisen-Reimer stock tree.

NumPeriods

Scalar value determining how many time steps are in the Leisen-Reimer stock tree.

    Note:   Leisen-Reimer requires the number of steps to be an odd number.

Output Arguments

TimeSpec

Structure specifying the time layout for a Leisen-Reimer stock tree.

Examples

expand all

Specify the Time Structure for Leisen-Reimer Binomial Tree

This example shows how to specify a 5-period tree with time steps of 1 year.

ValuationDate = '1-July-2010';
Maturity = '1-July-2015';
TimeSpec = lrtimespec(ValuationDate, Maturity, 5)
TimeSpec = 

           FinObj: 'BinTimeSpec'
    ValuationDate: 734320
         Maturity: 736146
       NumPeriods: 5
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4 5]
             dObs: [734320 734685 735050 735415 735780 736146]

References

Leisen D.P., M. Reimer, "Binomial Models for Option Valuation – Examining and Improving Convergence," Applied Mathematical Finance, Number 3, 1996, pp. 319-346.

See Also

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