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itttimespec

Specify time structure using implied trinomial tree (ITT)

Description

example

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods) creates the structure specifying the time layout for an ITT tree (itttree).

Examples

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

ValuationDate = datetime(2006,7,1);
Maturity = datetime(2010,7,1);
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]

Input Arguments

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

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

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

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

Number of time steps in the itttree trinomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

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

Version History

Introduced in R2007a

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