CIRTree = cirvolspec(VolSpec,RateSpec,TimeSpec)
builds a Cox-Ingersoll-Ross (CIR) interest-rate tree. The CIR tree uses a CIR++ model with
the Nawalka-Beliaeva (NB) approach.
VolSpec — Volatility process specification structure
Volatility process specification, specified using the VolSpec
output obtained from cirvolspec.
Data Types: struct
RateSpec — Interest-rate specification for initial risk-free rate curve structure
Interest-rate specification for initial risk-free rate curve, specified by the
RateSpec obtained from intenvset. For information on the
interest-rate specification, see intenvset.
Data Types: struct
TimeSpec — Time tree layout specification structure
Time tree layout specification, specified using the TimeSpec
output obtained from cirtimespec.
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