bkvolspec

Specify Black-Karasinski interest-rate volatility process

Syntax

``VolSpec = bdtvolspec(ValuationDate,VolDates,VolCurve,AlphaDates,AlphaCurve)``
``VolSpec = bdtvolspec(___,InterpMethod)``

Description

example

````VolSpec = bdtvolspec(ValuationDate,VolDates,VolCurve,AlphaDates,AlphaCurve)` creates a structure specifying the volatility for `bktree`. ```

example

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

Examples

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

```ValuationDate = datetime(2004,1,1); StartDate = ValuationDate; VolDates = [datetime(2004,12,31) ; datetime(2005,12,31) ; datetime(2006,12,31) ; datetime(2007,12,31) ]; VolCurve = 0.01; AlphaDates = datetime(2008,1,1); AlphaCurve = 0.1; BKVolSpec = bkvolspec(ValuationDate, VolDates, VolCurve,... AlphaDates, AlphaCurve)```
```BKVolSpec = struct with fields: FinObj: 'BKVolSpec' ValuationDate: 731947 VolDates: [4x1 double] VolCurve: [4x1 double] AlphaCurve: 0.1000 AlphaDates: 733408 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, `bkvolspec` 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, `bkvolspec` 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`

Mean reversion end dates, specified as a `NPOINTS`-by-`1` vector using a datetime array, string array, or date character vectors.

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

Positive mean reversion values, specified as a `NPOINTS`-by-`1` vector of positive decimal values.

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 `bktree`.

Version History

Introduced before R2006a

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