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bdtvolspec

Specify Black-Derman-Toy interest-rate volatility process

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Syntax

VolSpec = bdtvolspec(ValuationDate,VolDates,VolCurve)
VolSpec = bdtvolspec(___,InterpMethod)

Description

example

VolSpec= bdtvolspec(ValuationDate,VolDates,VolCurve)creates a structure specifying the volatility forbdttree.

example

VolSpec= bdtvolspec(___,InterpMethod)adds the optional argumentInterpMethod.

Examples

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Open Live Script

This example shows how to create a BDT volatility specification (VolSpec) using the following data.

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

Input Arguments

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Observation date of the investment horizon, specified as a scalar date using a serial date number or date character vector.

Data Types:double|char

Number of points of yield volatility end dates, specified as aNPOINTS-by-1vector of serial date numbers or date character vectors.

Data Types:double|char|cell

Yield volatility values, specified as aNPOINTS-by-1vector of decimal values. The term structure ofVolCurveis the yield volatility represented by the value of the volatility of the yield from timet= 0 to timet+i, whereiis any point within the volatility curve.

Data Types:double

(Optional) Interpolation method, specified as a character vector with values supported byinterp1.

Data Types:char

Output Arguments

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Structure specifying the volatility model forbdttree.

Version History

Introduced before R2006a

See Also

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