mmktbybdt

Create money-market tree from Black-Derman-Toy interest-rate tree

Syntax

MMktTree = mmktbybdt(BDTTree)

Description

MMktTree = mmktbybdt(BDTTree) MMktTree = mmktbybdt(BDTTree) creates a money-market tree from an interest-rate tree structure created by bdttree.

Examples

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Create Money-Market Tree from Black-Derman-Toy Interest-Rate Tree

Open Live Script

Use a bdttree from the deriv.mat and create a money-market tree from the BDT interest-rate tree.

load deriv.mat;
MMktTree = mmktbybdt(BDTTree)

MMktTree = struct with fields:
      FinObj: 'BDTMmktTree'
        tObs: [0 1 2 3 4]
    MMktTree: {[1]  [1.1000 1.1000]  [1.2077 1.2324 1.2575]  [1x4 double]}