eqptimespec

Specify time structure for Equal Probabilities binomial tree

Syntax

TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods) sets the number of levels and node times for an equal probabilities tree (eqptree).

Examples

Set the Number of Levels and Node Times for an EQP Tree

This example shows how to set the number of levels and node times for an EQP tree by specifying a four-period tree with time steps of 1 year.

ValuationDate = '1-July-2002';
Maturity = '1-July-2006';
TimeSpec = eqptimespec(ValuationDate, Maturity, 4)

TimeSpec = struct with fields:
           FinObj: 'BinTimeSpec'
    ValuationDate: 731398
         Maturity: 732859
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [731398 731763 732128 732493 732859]

Input Arguments

ValuationDate — Pricing date and first observation in the tree

serial date number | character vector date

Pricing date and first observation in the eqptree, specified as a scalar date using a serial date number or date character vector.

Data Types: double | char

Maturity — Date marking the depth of the EQP stock tree

serial date number | date character vector

Date marking the depth of the eqptree binomial tree, specified as scalar serial date number or date character vector.

Data Types: double | char

NumPeriods — Number of time steps in the EQP tree

integer

Number of time steps in the eqptree binomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

TimeSpec — Specification for the time layout for eqptree

structure

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