crrtimespec

Specify time structure for Cox-Ross-Rubinstein tree

Syntax

TimeSpec = crrtimespec(ValuationDate,Maturity,NumPeriods)

Description

example

TimeSpec = crrtimespec(ValuationDate,Maturity,NumPeriods) sets the number of levels and node times for a CRR binomial tree (crrtree).

Examples

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This example shows how to specify a four-period CRR tree with time steps of 1 year.

ValuationDate = '1-July-2002';
Maturity = '1-July-2006';
TimeSpec = crrtimespec(ValuationDate, Maturity, 4)
TimeSpec = struct with fields:
           FinObj: 'BinTimeSpec'
    ValuationDate: 731398
         Maturity: 732859
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [731398 731763 732128 732493 732859]

Input Arguments

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Pricing date and first observation in the crrtree, specified as a scalar date using a serial date number or date character vector.

Data Types: double | char

Date marking the depth of the crrtree binomial tree, specified as scalar serial date number or date character vector.

Data Types: double | char

Number of time steps in the crrtree binomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

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Specification for the time layout for crrtree, returned as a structure.

Introduced before R2006a