XploRe Help : ITTnicemat

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	finance
See also:	ITT grITTcrr IBTnicemat

Quantlet:		ITTnicemat
Description:		writes any matrix with the ITT convention style as a string where the central node is found in the middle.

Reference(s):

Derman, E., Kani, I. and Chriss, N. (1996). Implied Trinomial Trees of the Volatility Smile. Journal of Derivatives, 4, pp. 7-22. Komorad, K. (2002). Implied Trinomial Trees and Their Implementation with XploRe.

Usage:	`ITTnicemat(title,onetree,prec)`
Input:
	`title`	string; description of onetree
	`onetree`	matrix; corresponds to any output matrix of ITT(.): Ttree, P, Q, AD or LocVol.
	`prec`	scalar; the precision of the description

Example:

library("finance") proc(sigma)=volafunc(S,K,time) sigma=0.15 +(K-S)/10 * 0.005 endp S = 100 ; current index level r = 0.1 ; interest rate div = 0.05 ; dividend yield time = 0|0.5|1 ; 2 half-year periods t=ITT(S, r, div, time, "volafunc") t.Ttree ITTnicemat("State space of the ITT",t.Ttree,2)

Result:

Contents of Ttree
[1,]      100   116.18   134.99
[2,]     +NAN      100   116.18
[3,]     +NAN   86.071      100
[4,]     +NAN     +NAN   86.071
[5,]     +NAN     +NAN   74.082

State space of the ITT
                 134.99
         116.18  116.18
 100.00  100.00  100.00
          86.07   86.07
                  74.08

Author: K. Komorad, W. Haerdle, 20020401 license MD*Tech