bushpath

Extract entries from node of bushy tree

Syntax

Values = bushpath(Tree,BranchList)

Description

Values = bushpath(Tree,BranchList) extracts entries of a node of a bushy tree. The node path is described by the sequence of branchings taken, starting at the root. The top branch is number 1, the second-to-top is 2, and so on. Set the branch sequence to zero to obtain the entries at the root node.

Examples

Extract Entries From Node of Bushy Tree

Create an HJM tree by loading the example file.

load deriv.mat; 

Use bushpath to return the rates at the tree nodes located by taking the up branch, then the down branch, and finally the up branch again.

FwdRates = bushpath(HJMTree.FwdTree, [1 2 1]) 

FwdRates = 4×1

    1.0356
    1.0364
    1.0526
    1.0463

You can visualize this with the treeviewer function.

treeviewer(HJMTree)

Input Arguments

Tree — Bushy tree

structure

Bushy tree, specified using an HJM, BDT, HW, BK, or CIR tree.

Data Types: struct

BranchList — Sequence of branching

matrix

Sequence of branching, specified as a number of paths (NUMPATHS) by path length (PATHLENGTH) matrix.

Data Types: double

Output Arguments

Values — Retrieved entries of a bushy tree

numeric

Retrieved entries of a bushy tree, returned as a number of values (NUMVALS)-by-NUMPATHS matrix.

Version History

Introduced before R2006a