bushshape

Retrieve shape of bushy tree

Syntax

[NumLevels, NumChild, NumPos, NumStates,
Trim] = bushshape(Tree)

Arguments

Tree

Bushy tree.

Description

[NumLevels, NumChild, NumPos, NumStates,
Trim] = bushshape(Tree)
returns information on a bushy tree's shape.

NumLevels is the number of time levels of the tree.

NumChild is a 1-by-number of levels (NUMLEVELS) vector with the number of branches (children) of the nodes in each level.

NumPos is a 1-by-NUMLEVELS vector containing the length of the state vectors in each level.

NumStates is a 1-by-NUMLEVELS vector containing the number of state vectors in each level.

Trim is 1 if NumPos decreases by 1 when moving from one time level to the next. Otherwise, it is 0.

Examples

Create an HJM tree by loading the example file.

load deriv.mat; 

With treeviewer you can see the general shape of the HJM interest-rate tree.

With this tree

[NumLevels, NumChild, NumPos, NumStates, Trim] =... 
bushshape(HJMTree.FwdTree) 

returns

NumLevels  =   
     4

NumChild   =   
     2     2     2     0

NumPos     =   
     4     3     2     1

NumStates  =  
     1     2     4     8

Trim =   
     1

You can recreate this tree using the mkbush function.

Tree = mkbush(NumLevels, NumChild(1), NumPos(1), Trim); 
Tree = mkbush(NumLevels, NumChild, NumPos);

See Also

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