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Specify time structure for Equal Probabilities binomial tree
TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods)
example
TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods) sets the number of levels and node times for an equal probabilities tree (eqptree).
TimeSpec
ValuationDate
Maturity
NumPeriods
eqptree
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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]
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
double
char
Date marking the depth of the eqptree binomial tree, specified as scalar serial date number or date character vector.
Number of time steps in the eqptree binomial tree, specified as scalar integer value.
Data Types: double
Specification for the time layout for eqptree, returned as a structure.
eqptree | stockspec
stockspec
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