This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Click here to see
To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

bdtvolspec

Specify Black-Derman-Toy interest-rate volatility process

Syntax

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

Description

example

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

example

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

Examples

collapse all

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

collapse all

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

collapse all

Structure specifying the volatility model for bdttree.

Introduced before R2006a