Financial Derivatives Toolbox

treeshape

Retrieve shape of a recombining tree

Syntax

• [NumLevels, NumPos, IsPriceTree] = treeshape(Tree)
  

Arguments

Tree	Recombining tree.

Description

[NumLevels, NumPos, IsPriceTree] = treeshape(Tree) returns information on a recombining tree's shape.

NumLevels is the number of time levels of the tree.

NumPos is a 1-by-NUMLEVELS vector containing the length of the state vectors in each level.

IsPriceTree is a Boolean determining if a final horizontal branch is present in the tree.

Examples

Create a BDT tree by loading the example file.

• load deriv.mat; 
  

With treeviewer you can see the general shape of the BDT interest rate tree.

• treeviewer(BDTTree)
  
  
  

With this tree

• [NumLevels, NumPos, IsPriceTree] = treeshape(BDTTree.FwdTree) 
  

returns

• NumLevels  =   
       4
  
  NumPos     =   
       1     1     1     1
  
  IsPriceTree =
       0
  

See Also

mktree, treepath

treepath

treeviewer