treedemonew.m

用matlab实现衍生证券定价,非常好用

function treedemonew(Command, Trees,Port,RS)
%TREEDEMONEW Display all four price tree models: BDT, HW, HJM nad BK
%
%Mayeda Reyes-Kattar

%Define Colors for tree viewer actions (used by more than one switch case)
ColorOne = [1 .15 0];    %Path One
ColorTwo = [.6 0 .6];    %Path Two
ColorThree = [1 0 0];    %Node and Children


if nargin == 0
    Command = 'init';
end

switch lower(Command)
    case 'update'
        
        
         %View instrument price tree
        Tree  = getappdata(gcf,'HJMTREE');

        % ---------------------------------------------------
        % Determine the type of tree, and obtain information
        % appropriately.
        % ---------------------------------------------------
        if isafin(Tree, 'HJMPriceTree')
            [NLevels, NChild, NInstTree] = bushshape(Tree.PBush);        
        elseif isafin(Tree, 'BDTPriceTree')
            [NLevels, NInstTree] = treeshape(Tree.PTree);
            NChild = 2;
        elseif isafin(Tree, 'HWPriceTree')
            [NLevels, NP] = trintreeshape(Tree);
            NInstTree = NP(1);
            NChild = 3;
        elseif isafin(Tree, 'BKPriceTree')
            [NLevels, NP] = trintreeshape(Tree);
            NInstTree = NP(1);
            NChild = 3;
        else
            error('finderiv:treedemonew:InvalidTree','Input argument ''Tree'' not recognized as a valid tree')
        end
        
        ha = findobj(gcf, 'Tag', 'Chooser');
        delete(ha);

        if isafin(Tree, 'BDTFwdTree')
            AxesHandle = treeguistate(Tree.FwdTree);
        elseif isafin(Tree, 'BDTRateTree')
            AxesHandle = treeguistate(Tree.RateTree);
        elseif isafin(Tree, 'BDTPriceTree')
            AxesHandle = treeguistate(Tree.PTree);
        elseif isafin(Tree, 'BDTCFTree')
            AxesHandle = treeguistate(Tree.CFTree);
        elseif isafin(Tree, 'BDTMmktTree')
            AxesHandle = treeguistate(Tree.MMktTree);
        elseif isafin(Tree, 'BinStockTree')
            AxesHandle = treeguistate(Tree.STree);
        elseif isafin(Tree, 'BinPriceTree')
            AxesHandle = treeguistate(Tree.PTree);
        elseif isafin(Tree, 'HWFwdTree') || isafin(Tree, 'HWRateTree')
            AxesHandle = trintreeguistate(Tree);
        elseif isafin(Tree, 'BKFwdTree') || isafin(Tree, 'BKRateTree')
            AxesHandle = trintreeguistate(Tree);
        elseif isafin(Tree, 'BKPriceTree') || isafin(Tree, 'HWPriceTree')
            AxesHandle = trintreeguistate(Tree);
        else
            AxesHandle = bushguistate(NChild);
        end

        %start x-axis labels at zero
        xlab = get(gca,'Xtick')-1;

        %reposition axis
        p = get(AxesHandle,'Position');
        set(AxesHandle,'Position',[p(1)/8 p(2) p(3)/2+p(1)/2 p(4)],'Tag','Chooser',...
            'Xticklabel',xlab,'Color',[1 1 1])

        %Set highlightmode to path to root
        setappdata(AxesHandle,'HighlightMode','path')
        
        %Define callbacks for tree elements
        trobj = findobj(gcf,'Tag','StateMark');
        set(trobj,'Buttondownfcn','treeviewercallbacks(''treeaction'')')
        
                %Set colors for paths, (taken from bushguistate)
        ColorOrder = get(gca,'ColorOrder');
        ColorOrder(3:4,:) = [ColorOne;ColorTwo];
        ColorOrder(5:end,:) = [];
        ColorState = ColorOrder(1,:); % Color of state markers
        ColorLine = ColorOrder(2,:);  % Color of unselected lines connecting states
        ColorSelectOrder = ColorOrder(3:end,:); % Colors available for selection
        ColorSelectInd = 1; % Location of next color in ColorSelectOrder

        ChooserH = findobj(gcf,'Tag','Chooser');
        setappdata(ChooserH, 'ColorState', ColorState);
        setappdata(ChooserH, 'ColorLine',  ColorLine);
        setappdata(ChooserH, 'ColorSelectOrder', ColorSelectOrder);
        setappdata(ChooserH, 'ColorSelectInd',   ColorSelectInd);

        setappdata(ChooserH,'CurrentPathNumber',0);
        
    case 'init'
        
        % Initialize the tree and the portfolio here.
        if nargin == 0
            load treedemonew           
            
            % Build tree list and pick default (HJM)
            Trees = {'Black-Derman-Toy', BDTPriceTree; ...
                     'Black-Karasinski', BKPriceTree; ...
                     'Heath-Jarrow-Morton', HJMPriceTree; ...
                     'Hull-White', HWPriceTree};            
            
            treedemonew('init',Trees,Port,HWTree.RateSpec)
            return;
        else
            Tree = Trees{3,2};
        end
        

        %Define Colors for tree viewer actions (used by more than one switch case)
        ColorOne = [1 .15 0];    %Path One
        ColorTwo = [.6 0 .6];    %Path Two
        ColorThree = [1 0 0];    %Node and Children

        fnt = get(0,'Fixedwidthfont');  %Font to use for all listboxes

        % ---------------------------------------------------
        % Determine the type of tree, and obtain information
        % appropriately.
        % ---------------------------------------------------
        if isafin(Tree, 'HJMFwdTree')
            [NLevels, NChild] = bushshape(Tree.FwdTree);
        elseif isafin(Tree, 'HJMRateTree')
            [NLevels, NChild] = bushshape(Tree.RateTree);
        elseif isafin(Tree, 'HJMPriceTree')
            [NLevels, NChild, NInstTree] = bushshape(Tree.PBush);
        elseif isafin(Tree, 'HJMCFTree')
            [NLevels, NChild, NInstTree] = bushshape(Tree.CFBush);
        elseif isafin(Tree, 'HJMMmktTree')
            [NLevels, NChild, NInstTree] = bushshape(Tree.MMktTree);
        elseif iscell(Tree)
            [NLevels, NChild, NInstTree] = bushshape(Tree);
        elseif isafin(Tree, 'BDTFwdTree')
            [NLevels, NInstTree] = treeshape(Tree.FwdTree);
            NChild = 2;
        elseif isafin(Tree, 'BDTRateTree')
            [NLevels, NInstTree] = treeshape(Tree.RateTree);
            NChild = 2;
        elseif isafin(Tree, 'BDTPriceTree')
            [NLevels, NInstTree] = treeshape(Tree.PTree);
            NChild = 2;
        elseif isafin(Tree, 'BDTCFTree')
            [NLevels, NInstTree] = treeshape(Tree.CFTree);
            NChild = 2;
        elseif isafin(Tree, 'BDTMmktTree')
            [NLevels, NInstTree] = treeshape(Tree.MMktTree);
            NChild = 2;
        elseif isafin(Tree, 'BinStockTree')
            [NLevels, NInstTree] = treeshape(Tree.STree);
            NChild = 2;
        elseif isafin(Tree, 'BinPriceTree')
            [NLevels, NInstTree] = treeshape(Tree.PTree);
            NChild = 2;
        elseif isafin(Tree, 'HWFwdTree') || isafin(Tree, 'BKFwdTree')
            [NLevels, NInstTree] = trintreeshape(Tree);
            NChild = 3;
        elseif isafin(Tree, 'HWPriceTree')
            [NLevels, NP] = trintreeshape(Tree);
            NInstTree = NP(1);
            NChild = 3;
        elseif isafin(Tree, 'HWRateTree') || isafin(Tree, 'BKRateTree')
            [NLevels, NInstTree] = trintreeshape(Tree);
            NChild = 3;
        elseif isafin(Tree, 'BKPriceTree')
            [NLevels, NP] = trintreeshape(Tree);
            NInstTree = NP(1);
            NChild = 3;
        else
            error('finderiv:treedemonew:InvalidTree','Input argument ''Tree'' not recognized as a valid tree')
        end


        % -----------------------------------------------
        % Determine how portfolio was passed in. If a portfolio
        % was passed in, pull out the names of the instruments.
        % -----------------------------------------------
        instnames = [];
        if nargin >= 3
            if isafin(Port, 'Instruments')
                try
                    instnames = cellstr(instget(Port,'FieldName',{'Name'}));
                catch
                    errordlg('finderiv:treedemonew:InvalidPortfolio','Portfolio must contain at least one instrument to open tree viewer.')
                    set(findobj('Type','figure'),'Pointer','arrow')
                    return
                end
            elseif iscell(Port)
                instnames = Port;
            end
            NInstSet = length(instnames);
            instval = 1;    %Default to first instrument
        elseif(~isafin(Tree, 'HJMFwdTree') && ~isafin(Tree, 'HJMRateTree') && ...
                ~isafin(Tree, 'HJMMmktTree') && ~isafin(Tree, 'BDTMmktTree') && ...
                ~isafin(Tree, 'BDTFwdTree') && ~isafin(Tree, 'BDTRateTree') && ...
                ~isafin(Tree, 'HWFwdTree') && ~isafin(Tree, 'HWRateTree') && ...
                ~isafin(Tree, 'BKFwdTree') && ~isafin(Tree, 'BKRateTree') && ...
                ~isafin(Tree, 'BinStockTree'))
            % ---------------------------------------------
            % If no PortFolio was passed in, and the tree is
            % not a rate tree, default instrument names to
            % instrument numbers.
            % ---------------------------------------------
            instnames = cellstr(num2str((1:NInstTree(1))'));
            NInstSet = NInstTree(1);
            instval = 1;
        end


        % ---------------------------------------------------
        % Verify that the number of instruments in InstSet
        % corresponds to the number of instruments represented
        % in the tree.
        % ---------------------------------------------------

        if nargin >= 3
            CName  = [];
            if isafin(Tree, 'HJMFwdTree')
                CName  = 'HJMFwdTree';
                instnames = [];
            elseif isafin(Tree, 'HJMRateTree')
                CName  = 'HJMRateTree';
                instnames = [];
            elseif isafin(Tree, 'HJMMmktTree')
                CName = 'HJMMmktTree';
                instnames = [];
            elseif isafin(Tree, 'BDTFwdTree')
                CName = 'BDTFwdTree';
                instnames = [];
            elseif isafin(Tree, 'BDTRateTree')
                CName = 'BDTRateTree';
                instnames = [];
            elseif isafin(Tree, 'BDTMmktTree')
                CName = 'BDTMmktTree';
                instnames = [];
            elseif isafin(Tree, 'BinStockTree')
                CName = 'BinStockTree';
                instnames = [];
            elseif isafin(Tree, 'HWFwdTree')
                CName  = 'HWFwdTree';
                instnames = [];
            elseif isafin(Tree, 'HWRateTree')
                CName  = 'HWRateTree';
                instnames = [];