mktrintree

Create recombining trinomial tree

Syntax

TrinTree = mktrintree(NumLevels,NumPos,NumStates)

TrinTree = mktrintree(___,NodeVal)

Description

TrinTree = mktrintree(NumLevels,NumPos,NumStates) creates a recombining tree TrinTree with initial values NodeVal at each node.

TrinTree = mktrintree(___,NodeVal) adds an optional argument for NodeVal.

Examples

Create Recombining Trinomial Tree

Create a recombining trinomial tree of four time levels with a vector of two elements in each node and each element initialized to NaN.

TrinTree = mktrintree(4, [2 2 2 2], [1 3 5 7])

TrinTree=1×4 cell array
    {2x1 double}    {2x3 double}    {2x5 double}    {2x7 double}

Input Arguments

NumLevels — Number of time levels of the tree

numeric

Number of time levels of the tree, specified as a scalar numeric.

Data Types: double

NumPos — Length of the state vectors in each time level

vector

Length of the state vectors in each time level, specified as a 1-by-NUMLEVELS vector.

Data Types: double

NumStates — Number of state vectors in each level

vector

Number of state vectors in each level, specified as a 1-by-NUMLEVELS vector.

Data Types: double

NodeVal — Initial value at each node of the tree

NaN (default) | numeric

(Optional) Initial value at each node of the tree, specified as a scalar numeric.

Data Types: double

Output Arguments

TrinTree — Recombining trinomial tree

struct

Recombining trinomial tree, returned as a tree struct with initial values NodeVal at each node.

Version History

Introduced before R2006a