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bdtvolspec

Specify Black-Derman-Toy interest-rate volatility process

Description

example

VolSpec = bdtvolspec(ValuationDate,VolDates,VolCurve) creates a structure specifying the volatility for bdttree.

example

VolSpec = bdtvolspec(___,InterpMethod) adds the optional argument InterpMethod.

Examples

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This example shows how to create a BDT volatility specification (VolSpec) using the following data.

ValuationDate = '01-01-2000';
EndDates = [datetime(2001,1,1) ; datetime(2002,1,1) ; datetime(2003,1,1) ; 
datetime(2004,1,1); datetime(2005,1,1)];
Volatility = [.2; .19; .18; .17; .16];

BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Volatility)
BDTVolSpec = struct with fields:
             FinObj: 'BDTVolSpec'
      ValuationDate: 730486
           VolDates: [5x1 double]
           VolCurve: [5x1 double]
    VolInterpMethod: 'linear'

Input Arguments

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Observation date of the investment horizon, specified as a scalar datetime, string, or date character vector.

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

Number of points of yield volatility end dates, specified as a NPOINTS-by-1 vector using a datetime array, string array, or date character vectors.

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

Yield volatility values, specified as a NPOINTS-by-1 vector of decimal values. The term structure of VolCurve is the yield volatility represented by the value of the volatility of the yield from time t = 0 to time t + i, where i is any point within the volatility curve.

Data Types: double

(Optional) Interpolation method, specified as a character vector with values supported by interp1.

Data Types: char

Output Arguments

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Structure specifying the volatility model for bdttree.

Version History

Introduced before R2006a

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