bdtvolspec (Financial Derivatives Toolbox)

Specify a BDT interest rate volatility process

Syntax

Volspec = bdtvolspec(ValuationDate, VolDates, VolCurve, 
InterpMethod)

Arguments

ValuationDate

Scalar value representing the observation date of the investment horizon.

VolDates
Number of points (NPOINTS)-by-1 vector of yield volatility end dates.

VolCurve
NPOINTS-by-1 vector of yield volatility values in decimal form.

InterpMethod
(Optional) Interpolation method. Default is 'linear'. See interp1 for more information.

`ValuationDate`	Scalar value representing the observation date of the investment horizon.
`VolDates`	Number of points `(NPOINTS)`-by-`1` vector of yield volatility end dates.
`VolCurve`	`NPOINTS`-by-`1` vector of yield volatility values in decimal form.
InterpMethod	(Optional) Interpolation method. Default is `'linear'`. See `interp1` for more information.

Description

Volspec = bdtvolspec(ValuationDate, VolDates, VolCurve, InterpMethod) creates a structure specifying the volatility for bdttree.

Examples

Using the data provided, create a BDT volatility specification (VolSpec).

ValuationDate = '01-01-2000';
EndDates = ['01-01-2001'; '01-01-2002'; '01-01-2003'; 
'01-01-2004'; '01-01-2005'];
Volatility = [.2; .19; .18; .17; .16];

BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Volatility)

BDTVolSpec = 
             FinObj: 'BDTVolSpec'
      ValuationDate: 730486
           VolDates: [5x1 double]
           VolCurve: [5x1 double]
    VolInterpMethod: 'linear'

See Also

bdttree, interp1

bdttree bondbybdt