bushshape
Retrieve shape of bushy tree
Description
Examples
Retrieve Shape of Bushy Tree
Create an HJM tree by loading the example file.
load deriv.mat;
With treeviewer
you can see the general shape of the HJM interest-rate tree.
treeviewer(HJMTree)
Use bushshape
with the HJMTree
.
[NumLevels, NumChild, NumPos, NumStates, Trim] = bushshape(HJMTree.FwdTree)
NumLevels = 4
NumChild = 1×4
2 2 2 0
NumPos = 1×4
4 3 2 1
NumStates = 1×4
1 2 4 8
Trim = logical
1
You can recreate this tree using the mkbush
function.
Tree = mkbush(NumLevels, NumChild(1), NumPos(1), Trim)
Tree=1×4 cell array
{4x1 double} {3x1x2 double} {2x2x2 double} {1x4x2 double}
Tree = mkbush(NumLevels, NumChild, NumPos)
Tree=1×4 cell array
{4x1 double} {3x1x2 double} {2x2x2 double} {1x4x2 double}
Input Arguments
Tree
— Bushy tree
structure
Bushy tree, specified using an HJM, BDT, HW, BK, or CIR tree.
Data Types: struct
Output Arguments
NumLevels
— Number of tree levels
numeric
Number of tree levels, returned as a numeric.
NumChild
— Number of branches of the nodes in each level
vector
Number of branches (children) of the nodes in each level, returned as
a 1
-by-number of levels
(NUMLEVELS
) vector.
NumPos
— Length of the state vectors in each level
vector
Length of the state vectors in each level, returned as a
1
-by-number of levels
(NUMLEVELS
) vector.
NumStates
— Number of state vectors in each level
vector
Number of state vectors in each levels, returned as a
1
-by-number of levels
(NUMLEVELS
) vector.
Trim
— Trim
numeric
Trim, returned as a 1
if NumPos
decreases by 1
when moving from one time level to
the next. Otherwise, it is 0
.
Version History
Introduced before R2006a
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