trintreepath

Entries from node of recombining trinomial tree

Syntax

Values = trintreepath(TrinTree,BranchList)

Description

Values = trintreepath(TrinTree,BranchList) extracts entries of a node of a recombining trinomial tree. The node path is described by the sequence of branchings taken, starting at the root. The top branch is number 1, the middle branch is 2, and the bottom branch is 3. Set the branch sequence to 0 to obtain the entries at the root node.

Examples

Extract Entries of a Node of a Recombining Trinomial Tree

Create a HW tree by loading the example file.

load deriv.mat;
FwdRates = trintreepath(HWTree, [1 2 3])

FwdRates = 4×1

    1.0279
    1.0528
    1.0652
    1.0591

This returns the rates at the tree nodes located by starting at 0, taking the up branch at the first node, the middle branch at the second node, and finally the bottom branch at the third node.

You can visualize this with the treeviewer function.

treeviewer(HWTree)

Input Arguments

TrinTree — Recombining price or interest-rate trinomial tree

struct

Recombining price or interest-rate trinomial tree, specified as a struct that is created using one of the following functions:

• hjmtree

• bdttree

• hwtree

• bktree

• cirtree

Data Types: struct

BranchList — Number of paths by path length

matrix

Number of paths (NUMPATHS) by path length (PATHLENGTH), specified as a matrix containing the sequence of branchings.

Data Types: double

Output Arguments

Values — Retrieved entries of a recombining tree

matrix

Retrieved entries of a recombining tree, returned a number of values (NUMVALS)-by-NUMPATHS matrix.

Version History

Introduced before R2006a