Use itttree to build the ITTTree structure.
Note, in this example, the extrapolation warnings are turned on. These
warnings are a consequence of having to extrapolate to find the option
price of the tree nodes. In this example, the set of inputs options
was too narrow for the shift in the tree nodes introduced by the disturbance
used to calculate the sensitivities. As a consequence extrapolation
for some of the nodes was needed.
Stock specification, specified by the StockSpec obtained
from stockspec. See stockspec for information on creating
a stock specification.
Data Types: struct
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.
Data Types: struct
TimeSpec — Tree time layout specification structure
Tree time layout specification, specified by the TimeSpec obtained
from itttimespec. The TimeSpec defines
the observation dates of the ITT tree. See itttimespec for
information on the tree structure.
Option stock specification, specified by the StockOptSpec obtained
from stockoptspec. See stockoptspec for information on creating
a stock specification.
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