crrtimespec

Specify time structure for Cox-Ross-Rubinstein tree

Syntax

TimeSpec = crrtimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = crrtimespec(ValuationDate,Maturity,NumPeriods) sets the number of levels and node times for a CRR binomial tree (crrtree).

Examples

Set the Number of Levels and Node Times for a CRR Binomial Tree

This example shows how to specify a four-period CRR tree with time steps of 1 year.

ValuationDate = datetime(2002,7,1);
Maturity = datetime(2006,7,1);
TimeSpec = crrtimespec(ValuationDate, Maturity, 4)

TimeSpec = struct with fields:
           FinObj: 'BinTimeSpec'
    ValuationDate: 731398
         Maturity: 732859
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [731398 731763 732128 732493 732859]

Input Arguments

ValuationDate — Pricing date and first observation in the tree

datetime scalar | string scalar | date character vector

Pricing date and first observation in the crrtree, specified as a scalar datetime, string, or date character vector.

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

Maturity — Date marking the depth of the CRR stock tree

datetime scalar | string scalar | date character vector

Date marking the depth of the crrtree binomial tree, specified as scalar datetime, string, or date character vector.

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

NumPeriods — Number of time steps in the CRR stock tree

integer

Number of time steps in the crrtree binomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

TimeSpec — Specification for the time layout for crrtree

structure

Specification for the time layout for crrtree, returned as a structure.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although crrtimespec supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.