www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CreateastttimespectoBuildaSTTTreeExample.m

    %% Create a stttimespec to Build a STTTree  

% Copyright 2015 The MathWorks, Inc.


%% 
% Create a |RateSpec|. 
StartDates = 'Jan-1-2014'; 
EndDates = 'Jan-1-2018'; 
Rates = 0.025; 
Basis = 1; 
Compounding = -1;

RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,'EndDates',...
EndDates, 'Rates', Rates,'Compounding', Compounding, 'Basis', Basis)   
%% 
% Create a |StockSpec|. 
AssetPrice = 110; 
Sigma = 0.22; 
Div = 0.02; 
StockSpec = stockspec(Sigma, AssetPrice, 'continuous', Div)  
%% 
% Create a |STTTimespec| and |STTTree|. 
NumPeriods = length(cfdates(StartDates,EndDates,12));
TimeSpec = stttimespec(StartDates, EndDates, NumPeriods)
STTT = stttree(StockSpec, RateSpec, TimeSpec)