itttimespec

Specify time structure using implied trinomial tree (ITT)

Syntax

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods) creates the structure specifying the time layout for an ITT tree (itttree).

Examples

Creates the Structure Specifying the Time Layout for an ITT Tree

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

ValuationDate = '1-July-2006';
Maturity = '1-July-2010';
TimeSpec = itttimespec(ValuationDate, Maturity, 4)

TimeSpec = struct with fields:
           FinObj: 'ITTTimeSpec'
    ValuationDate: 732859
         Maturity: 734320
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [732859 733224 733589 733954 734320]

Input Arguments

ValuationDate — Pricing date and first observation in the tree

serial date number | character vector date

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

Data Types: double | char

Maturity — Date marking the depth of the EQP stock tree

serial date number | date character vector

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

Data Types: double | char

NumPeriods — Number of time steps in the ITT tree

integer

Number of time steps in the itttree trinomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

TimeSpec — Specification for the time layout for itttree

structure

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