lrtimespec

Specify time structure for Leisen-Reimer binomial tree

Syntax

TimeSpec = lrtimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = lrtimespec(ValuationDate,Maturity,NumPeriods) specifies a time structure for a Leisen-Reimer stock tree (lrtree).

Examples

Specify the Time Structure for Leisen-Reimer Binomial Tree

This example shows how to specify a 5-period tree with time steps of 1 year.

ValuationDate = datetime(2010,7,1);
Maturity = datetime(2015,7,1);
TimeSpec = lrtimespec(ValuationDate, Maturity, 5)

TimeSpec = struct with fields:
           FinObj: 'BinTimeSpec'
    ValuationDate: 734320
         Maturity: 736146
       NumPeriods: 5
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4 5]
             dObs: [734320 734685 735050 735415 735780 736146]

Input Arguments

ValuationDate — Pricing date and first observation in Leisen-Reimer stock tree

datetime scalar | string scalar | date character vector

Pricing date and first observation in the lrtree, specified as a scalar datetime, string, or data character vector.

To support existing code, lrtimespec also accepts serial date numbers as inputs, but they are not recommended.

Maturity — Date marking the depth of the Leisen-Reimer stock tree

date character vector

Date marking the depth of the Leisen-Reimer stock tree, specified as scalar datetime, string, or data character vector.

To support existing code, lrtimespec also accepts serial date numbers as inputs, but they are not recommended.

NumPeriods — Number of time steps in the Leisen-Reimer stock tree

odd integer value

Number of time steps in the Leisen-Reimer stock tree, specified as scalar odd integer value.

Note

Leisen-Reimer requires the number of steps to be an odd number.

Data Types: double

Output Arguments

TimeSpec — Specification for the time layout for lrtree

structure

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

References

[1] Leisen D.P., M. Reimer. “Binomial Models for Option Valuation – Examining and Improving Convergence.” Applied Mathematical Finance. Number 3, 1996, pp. 319–346.

Version History

Introduced in R2010b

R2022b: Serial date numbers not recommended

Although lrtimespec supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.