treeshape

Shape of recombining binomial tree

Syntax

[NumLevels,NumPos,IsPriceTree] = treeshape(Tree)

Description

[NumLevels,NumPos,IsPriceTree] = treeshape(Tree) returns information on a recombining binomial tree's shape.

Examples

Determine Shape of Recombining Binomial Tree

This example shows how to obtain information on a recombining binomial tree's shape.

Create a BDT tree by loading the example file.

load deriv.mat; 

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

treeviewer(BDTTree)

Use treeshape to display the shape of the binomial tree.

[NumLevels, NumPos, IsPriceTree] = treeshape(BDTTree.FwdTree) 

NumLevels = 4

NumPos = 1×4

     1     1     1     1

IsPriceTree = logical
   0

Input Arguments

Tree — Recombining binomial tree

struct

Recombining binomial tree, specified as a struct that is created using one of the following functions:

• hjmtree

• bdttree

• hwtree

• bktree

• cirtree

Data Types: struct

Output Arguments

NumLevels — Number of time levels of tree

numeric

Number of time levels of tree, returned as a numeric.

NumPos — Length of the state vectors in each level

vector

Length of the state vectors in each level, returned as a 1-by-NUMLEVELS vector.

IsPriceTree — Indicates if final horizontal branch is present in the tree

logical

Indicates if final horizontal branch is present in the tree, returned as a Boolean.