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Specify Black-Derman-Toy interest-rate volatility process


VolSpec = bdtvolspec(ValuationDate,VolDates,VolCurve)
VolSpec = bdtvolspec(___,InterpMethod)



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


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


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

ValuationDate = '01-01-2000';
EndDates = ['01-01-2001'; '01-01-2002'; '01-01-2003'; 
'01-01-2004'; '01-01-2005'];
Volatility = [.2; .19; .18; .17; .16];

BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Volatility)
BDTVolSpec = struct with fields:
             FinObj: 'BDTVolSpec'
      ValuationDate: 730486
           VolDates: [5x1 double]
           VolCurve: [5x1 double]
    VolInterpMethod: 'linear'

Input Arguments

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

Data Types: double | char

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

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

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

Data Types: char

Output Arguments

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Structure specifying the volatility model for bdttree.

Introduced before R2006a