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Specify time structure using implied trinomial tree (ITT)
TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods)
example
TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods) creates the structure specifying the time layout for an ITT tree (itttree).
TimeSpec
ValuationDate
Maturity
NumPeriods
itttree
collapse all
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]
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
double
char
Date marking the depth of the itttree trinomial tree, specified as scalar serial date number or date character vector.
Number of time steps in the itttree trinomial tree, specified as scalar integer value.
Data Types: double
Specification for the time layout for itttree, returned as a structure.
ittprice | itttree | stockspec
ittprice
stockspec
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