cirtimespec

Specify time structure for Cox-Ingersoll-Ross tree

Syntax

TimeSpec = cirtimespec(ValuationDate,Maturity,NumPeriods)

TimeSpec = cirtimespec(___,Name,Value)

Description

TimeSpec = cirtimespec(ValuationDate,Maturity,NumPeriods) creates a time spec for a Cox-Ingersoll-Ross (CIR) tree.

TimeSpec = cirtimespec(___,Name,Value) adds additional name-value pair arguments.

Examples

Set the Number of Levels and Node Times for a CIR Tree

Set the number of levels and node times for an CIR tree by specifying a four-period tree with time steps of 1 year.

ValuationDate = 'Jan-1-2017'; 
Maturity = '01-Jan-2021'; 
NumPeriods = 4

NumPeriods = 4

CIRTimeSpec = cirtimespec(ValuationDate, Maturity, NumPeriods)

CIRTimeSpec = struct with fields:
           FinObj: 'CIRTimeSpec'
    ValuationDate: 736696
         Maturity: 738157
       NumPeriods: 4
      Compounding: 1
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [736696 737061 737426 737791 738157]

Input Arguments

ValuationDate — Date marking the pricing date and first observation tree

serial date number | date character vector

Date marking the pricing date and first observation in the tree, specified as a scalar using a serial date number or date character vector.

Data Types: double | char

Maturity — Date marking the depth of tree

serial date number | date character vector

Date marking the depth of the tree, specified as a scalar using a serial date number or date character vector.

Data Types: double | char

NumPeriods — Determines how many time steps are in tree

nonnegative integer

Determines how many time steps are in tree, specified as a scalar using a nonnegative integer value.

Data Types: double

Name-Value Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: TimeSpec = cirtimespec(Valuationdate,Maturity,NumPeriods,'Basis',3)

Compounding — Frequency at which the rates are compounded when annualized

1 (default) | integer with value of 1, 2, 3, 4, 6, or 12

Frequency at which the rates are compounded when annualized, specified as the comma-separated pair consisting of 'Compounding' and a scalar value:

• 1 — Annual compounding

• 2 — Semiannual compounding

• 3 — Compounding three times per year

• 4 — Quarterly compounding

• 6 — Bimonthly compounding

• 12 — Monthly compounding

Data Types: double

Basis — Day count basis

0 (actual/actual) (default) | integer from 0 to 13

Day count basis, specified as the comma-separated pair consisting of 'Basis' and a scalar value:

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/365 (ISDA)

• 13 = BUS/252

For more information, see Basis.

Data Types: double

EndMonthRule — End-of-month rule flag for generating dates when Maturity is end-of-month date for month having 30 or fewer days

1 (in effect) (default) | nonnegative integer [0,1]

End-of-month rule flag for generating dates when Maturity is an end-of-month date for a month having 30 or fewer days, specified as the comma-separated pair consisting of 'EndMonthRule' and a nonnegative integer [0, 1] using a scalar.

• 0 = Ignore rule, meaning that a payment date is always the same numerical day of the month.

• 1 = Set rule on, meaning that a payment date is always the last actual day of the month.

Data Types: logical

Output Arguments

TimeSpec — Time layout for CIR tree

structure

Time layout for the CIRTree, returned as a structure.