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lrtimespec

Specify time structure for Leisen-Reimer binomial tree

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Syntax

TimeSpec = lrtimespec(ValuationDate,Maturity,NumPeriods)

Description

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

example

Examples

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Open Live Script

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

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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.

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.

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

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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

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See Also

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