bkvolspec

Specify Black-Karasinski interest-rate volatility process

Syntax

VolSpec = bdtvolspec(ValuationDate,VolDates,VolCurve,AlphaDates,AlphaCurve)

VolSpec = bdtvolspec(___,InterpMethod)

Description

VolSpec = bdtvolspec(ValuationDate,VolDates,VolCurve,AlphaDates,AlphaCurve) creates a structure specifying the volatility for bktree.

VolSpec = bdtvolspec(___,InterpMethod) adds the optional argument InterpMethod.

Examples

Create a Black-Karasinski Volatility Specification

This example shows how to create a Black-Karasinski volatility specification (VolSpec) using the following data.

ValuationDate = '01-01-2004';
StartDate = ValuationDate;
VolDates = ['12-31-2004'; '12-31-2005'; '12-31-2006'; 
'12-31-2007'];
VolCurve = 0.01;
AlphaDates = '01-01-2008';
AlphaCurve = 0.1;
BKVolSpec = bkvolspec(ValuationDate, VolDates, VolCurve,...
AlphaDates, AlphaCurve)

BKVolSpec = struct with fields:
             FinObj: 'BKVolSpec'
      ValuationDate: 731947
           VolDates: [4x1 double]
           VolCurve: [4x1 double]
         AlphaCurve: 0.1000
         AlphaDates: 733408
    VolInterpMethod: 'linear'

Input Arguments

ValuationDate — Observation date of the investment horizon

serial date number | character vector date

Observation date of the investment horizon, specified as a scalar date using a serial date number or date character vector.

Data Types: double | char

VolDates — Number of points of yield volatility end dates

serial date number | date character vector

Number of points of yield volatility end dates, specified as a NPOINTS-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

VolCurve — Yield volatility values

decimal

Yield volatility values, specified as a NPOINTS-by-1 vector of decimal values. The term structure of VolCurve is the yield volatility represented by the value of the volatility of the yield from time t = 0 to time t + i, where i is any point within the volatility curve.

Data Types: double

AlphaDates — Mean reversion end dates

serial date number | date character vector

Mean reversion end dates, specified as a NPOINTS-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

AlphaCurve — Positive mean reversion values

positive decimal

Positive mean reversion values, specified as a NPOINTS-by-1 vector of positive decimal values.

Data Types: double

InterpMethod — Interpolation method

'linear' (default) | character vector with values supported by interp1

(Optional) Interpolation method, specified as a character vector with values supported by interp1.

Data Types: char

Output Arguments

VolSpec — Specification for the volatility model for bktree

structure

Structure specifying the volatility model for bktree.

Version History

Introduced before R2006a