mktrintree

Create recombining trinomial tree

Syntax

TrinTree = mktrintree(NumLevels, NumPos, NumStates, NodeVal)

Arguments

NumLevels

Number of time levels of the tree.

NumPos

1-by-NUMLEVELS vector containing the length of the state vectors in each time level.

NumStates

1-by-NUMLEVELS vector containing the number of state vectors in each time level.

NodeVal

(Optional) Initial value at each node of the tree. Default = NaN.

Description

TrinTree = mktrintree(NumLevels, NumPos, NumStates, NodeVal) creates a recombining tree Tree with initial values NodeVal at each node.

Examples

Create a recombining trinomial tree of four time levels with a vector of two elements in each node and each element initialized to NaN.

TrinTree = mktrintree(4, [2 2 2 2], [1 3 5 7]); 
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