Financial Derivatives Toolbox

bushpath

Extract entries from node of bushy tree

Syntax

Values = bushpath(Tree, BranchList)

Arguments

Tree	Bushy tree.
BranchList	Number of paths (NUMPATHS) by path length (PATHLENGTH) matrix containing the sequence of branchings.

Description

Values = bushpath(Tree, BranchList) extracts entries of a node of a bushy tree. The node path is described by the sequence of branchings taken, starting at the root. The top branch is number one, the second-to-top is two, and so on. Set the branch sequence to zero to obtain the entries at the root node.

Values is a number of values (NUMVALS)-by-NUMPATHS matrix containing the retrieved entries of a bushy tree.

Example

Create an HJM tree by loading the example file.

load deriv.mat; 

Then

FwdRates = bushpath(HJMTree.FwdTree, [1 2 1]) 

returns the rates at the tree node located by taking the first branch, then the second branch, and finally the first branch again.

FwdRates = 

    1.0200 
    0.9276 
    1.0405 
    0.9648 

See Also

bushshape, mkbush

bondbyzero

bushshape