lrtimespec

Specify time structure for Leisen-Reimer binomial tree

Syntax

``TimeSpec = lrtimespec(ValuationDate,Maturity,NumPeriods)``

Description

example

````TimeSpec = lrtimespec(ValuationDate,Maturity,NumPeriods)` specifies a time structure for a Leisen-Reimer stock tree (`lrtree`).```

Examples

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This example shows how to specify a 5-period tree with time steps of 1 year.

```ValuationDate = datetime(2010,7,1); Maturity = datetime(2015,7,1); TimeSpec = lrtimespec(ValuationDate, Maturity, 5)```
```TimeSpec = struct with fields: FinObj: 'BinTimeSpec' ValuationDate: 734320 Maturity: 736146 NumPeriods: 5 Basis: 0 EndMonthRule: 1 tObs: [0 1 2 3 4 5] dObs: [734320 734685 735050 735415 735780 736146] ```

Input Arguments

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

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

Date marking the depth of the Leisen-Reimer stock tree, specified as scalar datetime, string, or data character vector.

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

Number of time steps in the Leisen-Reimer stock tree, specified as scalar odd integer value.

Note

Leisen-Reimer requires the number of steps to be an odd number.

Data Types: `double`

Output Arguments

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Specification for the time layout for `lrtree`, returned as a structure.

References

[1] Leisen D.P., M. Reimer. “Binomial Models for Option Valuation – Examining and Improving Convergence.” Applied Mathematical Finance. Number 3, 1996, pp. 319–346.

Version History

Introduced in R2010b

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