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treepath

Entries from node of recombining binomial tree

Syntax

Values = treepath(Tree, BranchList)

Arguments

Tree

Recombining binomial tree.

BranchList

Number of paths (NUMPATHS) by path length (PATHLENGTH) matrix containing the sequence of branchings.

Description

Values = treepath(Tree, BranchList) extracts entries of a node of a recombining binomial tree. The node path is described by the sequence of branchings taken, starting at the root. The top branch is number one, the second-to-top is two, and so on. Set the branch sequence to zero to obtain the entries at the root node.

Values is a number of values (NUMVALS)-by-NUMPATHS matrix containing the retrieved entries of a recombining tree.

Examples

Create a BDT tree by loading the example file.

load deriv.mat; 

Then

FwdRates = treepath(BDTTree.FwdTree, [1 2 1]) 

returns the rates at the tree nodes located by taking the up branch, then the down branch, and finally the up branch again.

FwdRates = 

    1.1000
    1.0979
    1.1377
    1.1183 

You can visualize this with the treeviewer function.

treeviewer(BDTTree)

See Also

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