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: grITTcrr grITTspd ITT plotITT

Quantlet: grITTstsp
Description: generates the state space of an implied trinomial tree.

Reference(s):

Usage: res=grITTstsp(itree{,text{,col{,prec}}})
Input:
itree list; output of ITT(.) Ttree - the Implied Trinomial Tree, P - the upper probabilities, Q - the lower probabilities, AD - the Arrow-Debreu prices, LocVol - the local volatilities, Onodes - the overwritten nodes, Oprobs - the overwritten probabilities and Time - time points.
text optional scalar; text = 1, the description of the tree nodes corresponds to the values of the underlying (default), text = 0, if no description is desired.
col 5 x 1 vector; each row corresponds in the following order to the color of: the tree mesh, the description of the nodes, the description of the probabilities, the overwritten nodes and the overwritten probabilities. Default is col=0|1|2|4|5.
prec 2 x 1 vector; prec[1] represents the precision of the description of the nodes (default 2) and prec[2] corresponds to the precision of the description of the transition probabilities (default 3).
Output:
res.nodes graphical object; the nodes of the implied trinomial tree
res.probs graphical object; the description for the probabilities
res.axe graphical object; the time axe
res.on graphical object; overwritten nodes are denoted with rhombuses (if no nodes are overwritten, on = NaN)
res.op graphical object; overwritten probabilities (if no probabilities are overwritten, op = NaN)

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 = 0*matrix(5)  	; black only
prec = 1|3		; desired precision
t=ITT(S, r, div, time, "volafunc")  ; compute the tree
stsp=grITTstsp(t,0,col,prec)        ; don't describe the nodes
d=createdisplay(1,1)
axesoff()
show(d,1,1,stsp.nodes,stsp.probs)
axeson()

Result:
An implied trinomial tree with transition probabilities
is plotted.



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