www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/BuildALeisenReimerStockTreeExample.m
%% Build a Leisen-Reimer Stock Tree % This example shows how to build Leisen-Reimer stock tree. Consider a % European put option with an exercise price of $30 that expires on June 1, % 2010. The underlying stock is trading at $30 on January 1, 2010 and has a % volatility of 30% per annum. The annualized continuously compounded % risk-free rate is 5% per annum. Using this data, create a Leisen-Reimer % tree with 101 steps using the |PP1| method. %% % Copyright 2015 The MathWorks, Inc. AssetPrice = 30; Strike = 30; ValuationDate = 'Jan-1-2010'; Maturity = 'June-1-2010'; % define StockSpec Sigma = 0.3; StockSpec = stockspec(Sigma, AssetPrice); % define RateSpec Rates = 0.05; Settle = ValuationDate; Basis = 1; Compounding = -1; RateSpec = intenvset('ValuationDate', ValuationDate, 'StartDates', Settle, ... 'EndDates', Maturity, 'Rates', Rates, 'Compounding', Compounding, 'Basis', Basis); % build the Leisen-Reimer (LR) tree with 101 steps LRTimeSpec = lrtimespec(ValuationDate, Maturity, 101); % use the PP1 method LRMethod = 'PP1'; LRTree = lrtree(StockSpec, RateSpec, LRTimeSpec, Strike, ... 'method', LRMethod)