bdtvolspec - Specify Black-Derman-Toy interest-rate volatility process

Syntax

Arguments

ValuationDate	Scalar value representing the observation date of the investment horizon.
VolDates	Number of points (NPOINTS)-by-1 vector of yield volatility end dates.
VolCurve	NPOINTS-by-1 vector of yield volatility values in decimal form.
InterpMethod	(Optional) Interpolation method. Default is 'linear'. See interp1 for more information.

Description

Volspec = bdtvolspec(ValuationDate, VolDates, VolCurve, InterpMethod) creates a structure specifying the volatility for bdttree.

Examples

Using the data provided, create a BDT volatility specification (VolSpec).

ValuationDate = '01-01-2000';
EndDates = ['01-01-2001'; '01-01-2002'; '01-01-2003'; 
'01-01-2004'; '01-01-2005'];
Volatility = [.2; .19; .18; .17; .16];

BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Volatility)

BDTVolSpec = 
             FinObj: 'BDTVolSpec'
      ValuationDate: 730486
           VolDates: [5x1 double]
           VolCurve: [5x1 double]
    VolInterpMethod: 'linear'

See Also

bdttree | interp1

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