eqptimespec

Specify time structure for Equal Probabilities binomial tree

Syntax

TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = eqptimespec(ValuationDate,Maturity,NumPeriods) sets the number of levels and node times for an equal probabilities tree (eqptree).

Examples

Set the Number of Levels and Node Times for an EQP Tree

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 = datetime(2002,7,1);
Maturity = datetime(2006,7,1);
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]

Input Arguments

ValuationDate — Pricing date and first observation in the tree

datetime scalar | string scalar | date character vector

Pricing date and first observation in the eqptree, specified as a scalar datetime, string, or date character vector.

To support existing code, eqptimespec also accepts serial date numbers as inputs, but they are not recommended.

Maturity — Date marking the depth of the EQP stock tree

datetime scalar | string scalar | date character vector

Date marking the depth of the eqptree binomial tree, specified as scalar datetime, string, or date character vector.

To support existing code, eqptimespec also accepts serial date numbers as inputs, but they are not recommended.

NumPeriods — Number of time steps in the EQP tree

integer

Number of time steps in the eqptree binomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

TimeSpec — Specification for the time layout for eqptree

structure

Specification for the time layout for eqptree, returned as a structure.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although eqptimespec supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.