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eqptimespec

Specify time structure for Equal Probabilities binomial tree

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Syntax

TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods) sets the number of levels and node times for an equal probabilities tree (eqptree).

example

Examples

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Open Live Script

This example shows how to set the number of levels and node times for an EQP tree by specifying a four-period tree with time steps of 1 year.

ValuationDate = datetime(2002,7,1);
Maturity = datetime(2006,7,1);
TimeSpec = eqptimespec(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 eqptree, specified as a scalar datetime, string, or date character vector.

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

Date marking the depth of the eqptree binomial tree, specified as scalar datetime, string, or date character vector.

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

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

Data Types: double

Output Arguments

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

Version History

Introduced before R2006a

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See Also

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