stttree
Build standard trinomial tree
Description
Examples
Build a STTTree
Create a RateSpec
.
StartDates = 'Jan-1-2014'; EndDates = 'Jan-1-2018'; Rates = 0.025; Basis = 1; Compounding = -1; RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,... 'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding, 'Basis', Basis)
RateSpec = struct with fields:
FinObj: 'RateSpec'
Compounding: -1
Disc: 0.9048
Rates: 0.0250
EndTimes: 4
StartTimes: 0
EndDates: 737061
StartDates: 735600
ValuationDate: 735600
Basis: 1
EndMonthRule: 1
Create a StockSpec
.
AssetPrice = 55;
Sigma = 0.22;
Div = 0.02;
StockSpec = stockspec(Sigma, AssetPrice, 'continuous', Div)
StockSpec = struct with fields:
FinObj: 'StockSpec'
Sigma: 0.2200
AssetPrice: 55
DividendType: {'continuous'}
DividendAmounts: 0.0200
ExDividendDates: []
Create a Standard Trinomial Tree (STTTree
).
NumSteps = 8; TimeSpec = stttimespec(StartDates, EndDates, NumSteps); STTT = stttree(StockSpec, RateSpec, TimeSpec)
STTT = struct with fields:
FinObj: 'STStockTree'
StockSpec: [1x1 struct]
TimeSpec: [1x1 struct]
RateSpec: [1x1 struct]
tObs: [0 0.5000 1 1.5000 2 2.5000 3 3.5000 4]
dObs: [735600 735782 735965 736147 736330 736513 736695 736878 737061]
STree: {1x9 cell}
Probs: {[3x1 double] [3x3 double] [3x5 double] [3x7 double] [3x9 double] [3x11 double] [3x13 double] [3x15 double]}
Input Arguments
StockSpec
— Stock specification for underlying asset
structure
Stock specification for underlying asset, specified using StockSpec
obtained
from stockspec
. For information
on the stock specification, see stockspec
.
stockspec
can handle
other types of underlying assets. For example, stocks, stock indices,
and commodities. If dividends are not specified in StockSpec
,
dividends are assumed to be 0
.
Data Types: struct
TimeSpec
— Tree time layout specification
structure
Tree time layout specification, specified using stttimespec
to define the observation
dates of the standard trinomial (STT) tree.
Data Types: struct
Output Arguments
STTTree
— Tree specifying stock and time information for a standard trinomial (STT) tree
tree structure
Tree specifying stock and time information for a standard trinomial (STT) tree, returned as a tree structure.
Version History
Introduced in R2015b
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