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fixedbyzero - Price fixed-rate note from set of zero curves

Syntax

Price = fixedbyzero(RateSpec, CouponRate, Settle, Maturity, Reset, Basis, Principal, EndMonthRule)

Arguments

`RateSpec`	Structure containing the properties of an interest-rate structure. See `intenvset` for information on creating `RateSpec`.
`CouponRate`	Decimal annual rate.
`Settle`	Settlement date. `Settle` must be earlier than `Maturity`.
`Maturity`	Maturity date.
`Reset`	(Optional) Frequency of payments per year. Default = `1`.
`Basis`	(Optional) Day-count basis of the instrument. A vector of integers. 0 = actual/actual (default) 1 = 30/360 (SIA) 2 = actual/360 3 = actual/365 4 = 30/360 (PSA) 5 = 30/360 (ISDA) 6 = 30/360 (European) 7 = actual/365 (Japanese) 8 = actual/actual (ISMA) 9 = actual/360 (ISMA) 10 = actual/365 (ISMA) 11 = 30/360E (ISMA) 12 = actual/365 (ISDA) 13 = BUS/252
`Principal`	(Optional) The notional principal amount. Default = `100`.
`EndMonthRule`	(Optional) `NINST`-by-`1` vector representing the End-of-month rule. Default = `1`.

All inputs are either scalars or NINST-by-1 vectors unless otherwise specified. Any date may be a serial date number or date string. An optional argument may be passed as an empty matrix [].

Description

Price = fixedbyzero(RateSpec, CouponRate, Settle,Maturity, Reset, Basis, Principal, EndMonthRule) computes the price of a fixed-rate note from a set of zero curves.

Price is a number of instruments (NINST) by number of curves (NUMCURVES) matrix of fixed-rate note prices. Each column arises from one of the zero curves.

Examples

Price a 4% fixed-rate note using a set of zero curves.

Load the file deriv.mat, which provides ZeroRateSpec, the interest-rate term structure needed to price the note.

load deriv.mat

Set the required values. Other arguments will use defaults.

CouponRate = 0.04;
Settle = '01-Jan-2000';
Maturity = '01-Jan-2003';

Use fixedbyzero to compute the price of the note.

Price = fixedbyzero(ZeroRateSpec, CouponRate, Settle, Maturity)

Price =

  98.7159

fixedbyzero - Price fixed-rate note from set of zero curves

Syntax

Arguments

Description

Examples

See Also