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bkvolspec

Specify Black-Karasinski interest-rate volatility process

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Syntax

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

Description

example

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

example

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

Examples

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Open Live Script

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

ValuationDate ='01-01-2004'; StartDate = ValuationDate; VolDates = ['12-31-2004';'12-31-2005';'12-31-2006';'12-31-2007']; VolCurve = 0.01; AlphaDates ='01-01-2008'; AlphaCurve = 0.1; BKVolSpec = bkvolspec(ValuationDate, VolDates, VolCurve,...AlphaDates, AlphaCurve)
BKVolSpec =struct with fields:FinObj: 'BKVolSpec' ValuationDate: 731947 VolDates: [4x1 double] VolCurve: [4x1 double] AlphaCurve: 0.1000 AlphaDates: 733408 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

点数的收益率波动结束日期,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

Mean reversion end dates, specified as aNPOINTS-by-1vector of serial date numbers or date character vectors.

Data Types:double|char|cell

Positive mean reversion values, specified as aNPOINTS-by-1vector of positive decimal values.

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 forbktree.

Version History

Introduced before R2006a

See Also

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