itttimespec
Specify time structure using implied trinomial tree (ITT)
Description
creates the structure specifying the time layout for an ITT tree (TimeSpec
= itttimespec(ValuationDate
,Maturity
,NumPeriods
)itttree
).
Examples
Creates the Structure Specifying the Time Layout for an ITT Tree
This example shows how to specify a four-period tree with time steps of 1 year.
ValuationDate = datetime(2006,7,1); Maturity = datetime(2010,7,1); TimeSpec = itttimespec(ValuationDate, Maturity, 4)
TimeSpec = struct with fields:
FinObj: 'ITTTimeSpec'
ValuationDate: 732859
Maturity: 734320
NumPeriods: 4
Basis: 0
EndMonthRule: 1
tObs: [0 1 2 3 4]
dObs: [732859 733224 733589 733954 734320]
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 itttree
, specified as a
scalar datetime, string, or date character vector.
To support existing code, itttimespec
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 itttree
trinomial tree,
specified as scalar datetime, string, or date character vector.
To support existing code, itttimespec
also
accepts serial date numbers as inputs, but they are not recommended.
NumPeriods
— Number of time steps in the ITT tree
integer
Number of time steps in the itttree
trinomial tree,
specified as scalar integer value.
Data Types: double
Output Arguments
TimeSpec
— Specification for the time layout for itttree
structure
Specification for the time layout for itttree
, returned as a
structure.
Version History
Introduced in R2007aR2022b: Serial date numbers not recommended
Although itttimespec
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.
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