eqptree
Build Equal Probabilities stock tree
Description
Examples
Create an EQP Tree
Using the data provided, create a stock specification
(StockSpec
), rate specification (RateSpec
),
and tree time layout specification (TimeSpec
).
Then use these specifications to create an EQP stock tree with eqptree
.
Sigma = 0.20; AssetPrice = 50; DividendType = 'cash'; DividendAmounts = [0.50; 0.50; 0.50; 0.50]; ExDividendDates = {'03-Jan-2003'; '01-Apr-2003'; '05-July-2003'; '01-Oct-2003'}; StockSpec = stockspec(Sigma, AssetPrice, DividendType, ... DividendAmounts, ExDividendDates); RateSpec = intenvset('Rates', 0.05, 'StartDates',... '01-Jan-2003', 'EndDates', '31-Dec-2003', 'Compounding', -1); ValuationDate = '1-Jan-2003'; Maturity = '31-Dec-2003'; TimeSpec = eqptimespec(ValuationDate, Maturity, 4); EQPTree = eqptree(StockSpec, RateSpec, TimeSpec)
EQPTree = struct with fields: FinObj: 'BinStockTree' Method: 'EQP' StockSpec: [1×1 struct] TimeSpec: [1×1 struct] RateSpec: [1×1 struct] tObs: [0 0.2493 0.4986 0.7479 0.9972] dObs: [731582 731673 731764 731855 731946] STree: {[50] [54.4622 44.7798] [60.5351 49.7555 40.9275] [66.2890 54.2879 44.4594 36.4104] [1×5 double]} UpProbs: [0.5000 0.5000 0.5000 0.5000]
Use treeviewer
to observe
the tree you have created.
Input Arguments
RateSpec
— Interest-rate specification for initial risk-free rate curve
structure
Interest-rate specification for initial risk-free rate curve,
specified by the RateSpec
obtained from intenvset
. For information on the interest-rate
specification, see intenvset
.
Note
The standard equal probabilities tree assumes a constant interest
rate, but RateSpec
allows you to specify an interest-rate
curve with varying rates. If you specify variable interest rates,
the resulting tree is not a standard equal probabilities tree.
Data Types: struct
TimeSpec
— Tree time layout specification
structure
Tree time layout specification, specified by the TimeSpec
obtained
from eqptimespec
. The TimeSpec
defines
the observation dates of the EQP stock tree. See eqptimespec
for information on the tree
structure.
Data Types: struct
Output Arguments
EQPTree
— EQP stock tree
structure
EQP stock tree, returned as a structure specifying the time layout for the tree.
Version History
Introduced before R2006a
Comando MATLAB
Hai fatto clic su un collegamento che corrisponde a questo comando MATLAB:
Esegui il comando inserendolo nella finestra di comando MATLAB. I browser web non supportano i comandi MATLAB.
Select a Web Site
Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .
You can also select a web site from the following list:
How to Get Best Site Performance
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)