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.

hjmtimespec

Specify time structure for Heath-Jarrow-Morton interest-rate tree

Syntax

TimeSpec = hjmtimespec(ValuationDate,Maturity)
TimeSpec = hjmtimespec(___,Compounding)

Description

example

TimeSpec = hjmtimespec(ValuationDate,Maturity) sets the number of levels and node times for a hjmtree and determines the mapping between dates and time for rate quoting.

example

TimeSpec = hjmtimespec(___,Compounding) adds the optional argument Compounding.

Examples

collapse all

This example shows how to specify an eight-period tree with semiannual nodes (every six months) and use exponential compounding to report rates.

Compounding = -1;
ValuationDate = '15-Jan-1999';
Maturity = datemnth(ValuationDate, 6*(1:8)');
TimeSpec = hjmtimespec(ValuationDate, Maturity, Compounding)
TimeSpec = struct with fields:
           FinObj: 'HJMTimeSpec'
    ValuationDate: 730135
         Maturity: [8x1 double]
      Compounding: -1
            Basis: 0
     EndMonthRule: 1

Input Arguments

collapse all

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

Data Types: double | char

Dates marking the cash flow dates of the tree, specified as NLEVELS-by-1 vector of serial date numbers or date character vectors. Cash flows with these maturities fall on tree nodes. Maturity should be in increasing order.

Data Types: double | char | cell

(Optional) Rate at which the input zero rates were compounded when annualized, specified as a scalar integer value.

  • If Compounding = 1, 2, 3, 4, 6, 12:

    Disc = (1 + Z/F)^(-T), where F is the compounding frequency, Z is the zero rate, and T is the time in periodic units; for example, T = F is one year.

  • If Compounding = 365:

    Disc = (1 + Z/F)^(-T), where F is the number of days in the basis year and T is a number of days elapsed computed by basis.

  • If Compounding = −1:

    Disc = exp(-T*Z), where T is time in years.

Data Types: double

Output Arguments

collapse all

Specification for the time layout for hjmtree, returned as a structure. The state observation dates are [ValuationDate; Maturity(1:end-1)]. Because a forward rate is stored at the last observation, the tree can value cash flows out to Maturity(end).

Introduced before R2006a