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: grITTspd grITTstsp ITT plotITT

Quantlet: grITTcrr
Description: generates a trinomial tree built from the standard CRR tree and describes it with the given values.

Reference(s):

Usage: nodes=grITTcrr(onetree{,time{,col{,scale{,prec}}}})
Input:
onetree matrix; corresponds to any output matrix of ITT(.): Ttree, P, Q, AD or LocVol.
time optional t x 1 vector; time points corresponding to onetree. Default is time with constant time step (equidistant time axe).
col optional 2 x 1 vector; the first row represents the color of the mesh and the second the text color. Default is col=0|1.
scale optional scalar; scale = 1 if the tree should be scaled by the values given in onetree. scale = 0 if a constant-volatility trinomial tree should be plotted and the values of onetree will be used only as descriptions (possible usage for P,Q,LocVol...), which is default.
prec optional scalar; the precision of the description (default is 2)
Output:
nodes graphical object; the nodes of the tree with corresponding description

Example:
library("finance")
library("graphic")
proc(sigma)=volafunc(S,K,time)
  sigma=0.15 +(S-K)/10 * 0.005
endp
S = 100	        ; current index level
r = 0.1		; compounded riskless interest rate
div = 0.05         ; dividend yield
time = 0|1|3|6	; time vector
col=1|0            ; blue mesh with black text
prec=3		; desired precision
t=ITT(S, r, div, time, "volafunc")  ; compute the tree
tr=grITTcrr(t.AD,time,col,0,prec)   ; Arrow-Debreu prices
d=createdisplay(1,1)
axesoff()
show(d,1,1,tr)
axeson()

Result:
A plot of the Arrow-Debreu prices is shown.



Author: K. Komorad, W. Haerdle, 20020326 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006