eqptree
Build Equal Probabilities stock tree
Description
Examples
Create an EQP Tree
Using the data provided, create a stock specification
(StockSpec
), rate specification (RateSpec
),
and tree time layout specification (TimeSpec
).
Then use these specifications to create an EQP stock tree with eqptree
.
Sigma = 0.20; AssetPrice = 50; DividendType = 'cash'; DividendAmounts = [0.50; 0.50; 0.50; 0.50]; ExDividendDates = {'03-Jan-2003'; '01-Apr-2003'; '05-July-2003'; '01-Oct-2003'}; StockSpec = stockspec(Sigma, AssetPrice, DividendType, ... DividendAmounts, ExDividendDates); RateSpec = intenvset('Rates', 0.05, 'StartDates',... '01-Jan-2003', 'EndDates', '31-Dec-2003', 'Compounding', -1); ValuationDate = '1-Jan-2003'; Maturity = '31-Dec-2003'; TimeSpec = eqptimespec(ValuationDate, Maturity, 4); EQPTree = eqptree(StockSpec, RateSpec, TimeSpec)
EQPTree = struct with fields: FinObj: 'BinStockTree' Method: 'EQP' StockSpec: [1×1 struct] TimeSpec: [1×1 struct] RateSpec: [1×1 struct] tObs: [0 0.2493 0.4986 0.7479 0.9972] dObs: [731582 731673 731764 731855 731946] STree: {[50] [54.4622 44.7798] [60.5351 49.7555 40.9275] [66.2890 54.2879 44.4594 36.4104] [1×5 double]} UpProbs: [0.5000 0.5000 0.5000 0.5000]
Use treeviewer
to observe
the tree you have created.
Input Arguments
RateSpec
— Interest-rate specification for initial risk-free rate curve
structure
Interest-rate specification for initial risk-free rate curve,
specified by the RateSpec
obtained from intenvset
. For information on the interest-rate
specification, see intenvset
.
Note
The standard equal probabilities tree assumes a constant interest
rate, but RateSpec
allows you to specify an interest-rate
curve with varying rates. If you specify variable interest rates,
the resulting tree is not a standard equal probabilities tree.
Data Types: struct
TimeSpec
— Tree time layout specification
structure
Tree time layout specification, specified by the TimeSpec
obtained
from eqptimespec
. The TimeSpec
defines
the observation dates of the EQP stock tree. See eqptimespec
for information on the tree
structure.
Data Types: struct
Output Arguments
EQPTree
— EQP stock tree
structure
EQP stock tree, returned as a structure specifying the time layout for the tree.
Version History
Introduced before R2006a
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