trintreeshape - Shape of recombining trinomial tree

Syntax

Arguments

TrinTree

Recombining price or interest-rate trinomial tree.

Description

[NumLevels, NumPos, NumStates] = trintreeshape(TrinTree) returns information on a recombining trinomial tree's shape.

NumLevels is the number of time levels of the tree.

NumPos is a 1-by-NUMLEVELS vector containing the length of the state vectors in each level.

NumStates is a 1-by-NUMLEVELS vector containing the number of state vectors in each level.

Examples

Create a Hull-White tree by loading the example file.

load deriv.mat; 

With treeviewer you can see the general shape of the HW interest-rate tree.

treeviewer(HWTree)

With this tree

[NumLevels, NumPos, NumStates] = trintreeshape(HWTree) 

returns

NumLevels  =   
     4

NumPos     =   
     1     1     1     1

NumStates =
     1     3     5     5

See Also

mktrintree | trintreepath

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