cvtree
Convert inverse-discount tree to interest-rate tree
Syntax
Description
Examples
Convert a Hull-White Tree Using Inverse-Discount Notation
Convert a Hull-White tree using inverse-discount notation to a Hull-White tree displaying interest-rate notation.
load deriv.mat;
HWTree
HWTree = struct with fields:
FinObj: 'HWFwdTree'
VolSpec: [1x1 struct]
TimeSpec: [1x1 struct]
RateSpec: [1x1 struct]
tObs: [0 1 2 3]
dObs: [731947 732313 732678 733043]
CFlowT: {[4x1 double] [3x1 double] [2x1 double] [4]}
Probs: {[3x1 double] [3x3 double] [3x5 double]}
Connect: {[2] [2 3 4] [2 2 3 4 4]}
FwdTree: {[1.0279] [1.0528 1.0356 1.0186] [1.0829 1.0652 1.0478 1.0306 1.0138] [1.0946 1.0767 1.0591 1.0418 1.0248]}
HWTree.FwdTree{1}
ans = 1.0279
HWTree.FwdTree{2}
ans = 1×3
1.0528 1.0356 1.0186
Use treeviewer
to display the path of interest rates expressed in inverse-discount notation.
treeviewer(HWTree)
Use cvtree
to convert the inverse-discount notation to interest-rate notation.
RTree = cvtree(HWTree)
RTree = struct with fields:
FinObj: 'HWRateTree'
VolSpec: [1x1 struct]
TimeSpec: [1x1 struct]
RateSpec: [1x1 struct]
tObs: [0 1 2 3]
dObs: [731947 732313 732678 733043]
CFlowT: {[4x1 double] [3x1 double] [2x1 double] [4]}
Probs: {[3x1 double] [3x3 double] [3x5 double]}
Connect: {[2] [2 3 4] [2 2 3 4 4]}
RateTree: {[0.0275] [0.0514 0.0349 0.0185] [0.0796 0.0632 0.0467 0.0302 0.0137] [0.0904 0.0739 0.0574 0.0409 0.0245]}
RTree.RateTree{1}
ans = 0.0275
RTree.RateTree{2}
ans = 1×3
0.0514 0.0349 0.0185
use treeviewer
to display the converted tree, showing the path of interest rates expressed as forward rates.
treeviewer(RTree)
Input Arguments
Tree
— Tree structure
HJM Tree | BDT Tree | HW Tree | BK Tree | CIR Tree
Tree structure, specified by Heath-Jarrow-Morton, Black-Derman-Toy, Hull-White, Black-Karasinski, or Cox-Ingersoll-Ross tree structure that uses inverse-discount notation for forward rates.
Data Types: struct
Output Arguments
RateTree
— Tree structure using rate notation for forward rates
structure
Tree structure using rate notation for forward rates, returned as a tree structure.
Version History
Introduced before R2006a
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