Interest-rate tree structure, specified by usingbktree。
Data Types:struct
CFlowAmounts—Cash flow amounts matrix
现金流量金额,指定为许多工具(Ninst) by maximum number of cash flows (MOSTCFS) matrix of cash flow amounts. Each row is a list of cash flow values for one instrument. If an instrument has fewer thanMOSTCFScash flows, the end of the row is padded withNaNs.
Data Types:double
CFlowDates—Cash flow dates matrix
现金流日期,指定为Ninst-经过-MOSTCFSmatrix. Each entry contains the serial date number of the corresponding cash flow inCFlowAmounts。
Data Types:double
Settle—定居日期 序列日期编号|日期字符向量
定居日期, specified as a vector of serial date numbers or date character vectors. TheSettledate for every cash flow is set to the评估日期of the BK tree. The cash flow argument,Settle,被忽略。
Data Types:double|char
基础—仪器的日期基础 0(实际/实际)(default) |integer from0to13
(Optional) Day-count basis of the instrument, specified as a vector of integers.
Expected prices at time 0, returned as aNinst-经过-1向量。
价格Tree— Tree structure of instrument prices 结构体
Tree structure of instrument prices, returned as a MATLAB®结构体of trees containing vectors of instrument prices and observation times for each node. Within价格Tree:
价格Tree.PTreecontains the clean prices.
价格Tree.tObscontains the observation times.
pricetree.connect包含连接向量。单元格数组中的每个元素都描述了该级别中的节点如何连接到下一个。对于给定的树级,有NumNodeselements in the vector, and they contain the index of the node at the next level that the middle branch connects to. Subtracting 1 from that value indicates where the up-branch connects to, and adding 1 indicated where the down branch connects to.
价格Tree.Probscontains the probability arrays. Each element of the cell array contains the up, middle, and down transition probabilities for each node of the level.
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