lrtimespec

Specify time structure for Leisen-Reimer binomial tree

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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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Open Live Script

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

ValuationDate = '1-July-2010';
Maturity = '1-July-2015';
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 date using a serial date number or date character vector.

Data Types: double | char

Date marking the depth of the Leisen-Reimer stock tree, specified as scalar serial date number or date character vector.

Data Types: double | char

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.

See Also

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Topics

Introduced in R2010b

Financial Instruments Toolbox Documentation

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