Financial Derivatives Toolbox™floatbyhw   floorbybdt
  

floatbyzero - Price floating-rate note from set of zero curves

Syntax 

Price = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset, 
Basis, Principal)

Arguments

RateSpec

Structure containing the properties of an interest-rate structure. See intenvset for information on creating RateSpec.

Spread

Number of basis points over the reference 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)

Principal

(Optional) The notional principal amount. Default = 100.

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 = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset, Basis, Principal) computes the price of a floating-rate note from a set of zero curves.

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

Examples

Price a 20–basis point floating-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.

Spread = 20;
Settle = '01-Jan-2000';
Maturity = '01-Jan-2003';

Use floatbyzero to compute the price of the note.

Price = floatbyzero(ZeroRateSpec, Spread, Settle, Maturity)

Price =

  100.5529

See Also

bondbyzero, cfbyzero, fixedbyzero, swapbyzero

  

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