Using the data provided, create a stock specification (StockSpec), rate specification (RateSpec), and tree time layout specification (TimeSpec). Then use these specifications to create a CRR tree with crrtree.
Stock specification, specified by the StockSpec obtained
from stockspec. See stockspec for information on creating
a stock specification.
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.
Note
The standard CRR tree assumes a constant interest rate, but RateSpec allows
you to specify an interest-rate curve with varying rates. If you specify
variable interest rates, the resulting tree is not a standard CRR
tree.
Data Types: struct
TimeSpec — Tree time layout specification structure
Tree time layout specification, specified by the TimeSpec obtained
from crrtimespec. The TimeSpec defines
the observation dates of the CRR binomial tree. See crrtimespec for information on the tree
structure.
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