bushshape

Retrieve shape of bushy tree

Syntax

[NumLevels,NumChild,NumPos,NumStates,Trim] = bushshape(Tree)

Description

[NumLevels,NumChild,NumPos,NumStates,Trim] = bushshape(Tree) returns information on a bushy tree's shape.

Examples

Retrieve Shape of Bushy Tree

Create an HJM tree by loading the example file.

load deriv.mat; 

With treeviewer you can see the general shape of the HJM interest-rate tree.

treeviewer(HJMTree)

Use bushshape with the HJMTree.

[NumLevels, NumChild, NumPos, NumStates, Trim] = bushshape(HJMTree.FwdTree) 

NumLevels = 
4

NumChild = 1×4

     2     2     2     0

NumPos = 1×4

     4     3     2     1

NumStates = 1×4

     1     2     4     8

Trim = logical
   1

You can recreate this tree using the mkbush function.

Tree = mkbush(NumLevels, NumChild(1), NumPos(1), Trim)

Tree=1×4 cell array
    {4x1 double}    {3x1x2 double}    {2x2x2 double}    {1x4x2 double}

Tree = mkbush(NumLevels, NumChild, NumPos)

Tree=1×4 cell array
    {4x1 double}    {3x1x2 double}    {2x2x2 double}    {1x4x2 double}

Input Arguments

Tree — Bushy tree

structure

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

Data Types: struct

Output Arguments

NumLevels — Number of tree levels

numeric

Number of tree levels, returned as a numeric.

NumChild — Number of branches of the nodes in each level

vector

Number of branches (children) of the nodes in each level, returned as a 1-by-number of levels (NUMLEVELS) vector.

NumPos — Length of the state vectors in each level

vector

Length of the state vectors in each level, returned as a 1-by-number of levels (NUMLEVELS) vector.

NumStates — Number of state vectors in each level

vector

Number of state vectors in each levels, returned as a 1-by-number of levels (NUMLEVELS) vector.

Trim — Trim

numeric

Trim, returned as a 1 if NumPos decreases by 1 when moving from one time level to the next. Otherwise, it is 0.

Version History

Introduced before R2006a