itttimespec

Specify time structure using implied trinomial tree (ITT)

Syntax

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods)

Description

TimeSpec = itttimespec(ValuationDate,Maturity,NumPeriods) creates the structure specifying the time layout for an ITT tree (itttree).

Examples

Creates the Structure Specifying the Time Layout for an ITT Tree

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

ValuationDate = datetime(2006,7,1);
Maturity = datetime(2010,7,1);
TimeSpec = itttimespec(ValuationDate, Maturity, 4)

TimeSpec = struct with fields:
           FinObj: 'ITTTimeSpec'
    ValuationDate: 732859
         Maturity: 734320
       NumPeriods: 4
            Basis: 0
     EndMonthRule: 1
             tObs: [0 1 2 3 4]
             dObs: [732859 733224 733589 733954 734320]

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 itttree, specified as a scalar datetime, string, or date character vector.

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

Maturity — Date marking the depth of the EQP stock tree

datetime scalar | string scalar | date character vector

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

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

NumPeriods — Number of time steps in the ITT tree

integer

Number of time steps in the itttree trinomial tree, specified as scalar integer value.

Data Types: double

Output Arguments

TimeSpec — Specification for the time layout for itttree

structure

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

Version History

Introduced in R2007a

R2022b: Serial date numbers not recommended

Although itttimespec 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.