Interest-rate tree structure, specified by using bktree.
Data Types: struct
CFlowAmounts — Cash flow amounts matrix
Cash flow amounts, specified as a Number of instruments (NINST)
by maximum number of cash flows (MOSTCFS) matrix
of cash flow amounts. Each row is a list of cash flow values for one
instrument. If an instrument has fewer than MOSTCFS cash
flows, the end of the row is padded with NaNs.
Data Types: double
CFlowDates — Cash flow dates matrix
Cash flow dates, specified as NINST-by-MOSTCFS matrix.
Each entry contains the serial date number of the corresponding cash
flow in CFlowAmounts.
Data Types: double
Settle — Settlement date serial date number | date character vector
Settlement date, specified as a vector of serial date numbers or date character vectors. The
Settle date for every cash flow is set to the
ValuationDate of the BK tree. The cash flow argument,
Settle, is ignored.
Data Types: double | char
Basis — Day-count basis of instrument 0 (actual/actual) (default) | integer from 0 to 13
(Optional) Day-count basis of the instrument, specified as a
vector of integers.
Expected prices at time 0, returned as a NINST-by-1 vector.
PriceTree — Tree structure of instrument prices structure
Tree structure of instrument prices, returned as a MATLAB® structure
of trees containing vectors of instrument prices and observation times
for each node. Within PriceTree:
PriceTree.PTree contains the clean
prices.
PriceTree.tObs contains the observation
times.
PriceTree.Connect contains the connectivity vectors. Each element in the
cell array describes how nodes in that level connect to the next. For a given
tree level, there are NumNodes elements in the vector, and
they contain the index of the node at the next level that the middle branch
connects to. Subtracting 1 from that value indicates where the up-branch
connects to, and adding 1 indicated where the down branch connects to.
PriceTree.Probs contains the probability
arrays. Each element of the cell array contains the up, middle, and
down transition probabilities for each node of the level.
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