Using the data provided, create a stock specification
(StockSpec), rate specification (RateSpec),
and tree time layout specification (TimeSpec).
Then use these specifications to create an EQP stock tree with eqptree.
Warning: RateSpec was not created with continuous compounding. Compounding will
be set to continuous while leaving discount factors unaltered. This will result
in the recalculation of the interest rates.
EQPTree =
struct with fields:
FinObj: 'BinStockTree'
Method: 'EQP'
StockSpec: [1×1 struct]
TimeSpec: [1×1 struct]
RateSpec: [1×1 struct]
tObs: [0 0.2493 0.4986 0.7479 0.9972]
dObs: [731582 731673 731764 731855 731946]
STree: {1×5 cell}
UpProbs: [0.5000 0.5000 0.5000 0.5000]]
Use treeviewer to observe
the tree you have created.
Stock specification, specified by the StockSpec obtained
from stockspec. See stockspec for information on creating
a stock specification.
Data Types: struct
RateSpec — Interest-rate specification for initial risk-free rate curve structure
Interest-rate specification for initial risk-free rate curve,
specified by the RateSpec obtained from intenvset. For information on the interest-rate
specification, see intenvset.
Note
The standard equal probabilities tree assumes a constant interest
rate, but RateSpec allows you to specify an interest-rate
curve with varying rates. If you specify variable interest rates,
the resulting tree is not a standard equal probabilities tree.
Data Types: struct
TimeSpec — Tree time layout specification structure
Tree time layout specification, specified by the TimeSpec obtained
from eqptimespec. The TimeSpec defines
the observation dates of the EQP stock tree. See eqptimespec for information on the tree
structure.
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