Financial Derivatives Toolbox™

instswap - Construct swap instrument

Syntax

InstSet = instswap(InstSet, LegRate, Settle, Maturity, InstSetLegReset, Basis, Principal, LegType) [FieldList, ClassList, TypeString] = instswap

Arguments

`InstSet`	Instrument variable. This argument is specified only when adding a swap to an existing instrument set. See `instget` for more information on the `InstSet` variable.
`LegRate`	Number of instruments (`NINST`)-by-`2` matrix, with each row defined as: `[CouponRate Spread]` or `[Spread CouponRate]` `CouponRate` is the decimal annual rate. `Spread` is the number of basis points over the reference rate. The first column represents the receiving leg, while the second column represents the paying leg.
`Settle`	Settlement date. `NINST`-by-`1` vector of serial date numbers or date strings. `Settle` must be earlier than `Maturity`.
`Maturity`	Maturity date. `NINST`-by-`1` vector of dates representing the maturity date for each swap.
`LegReset`	(Optional) `NINST`-by-`2` matrix representing the reset frequency per year for each swap. Default = `[1 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) `NINST`-by-`1` vector of the notional principal amounts. Default = `100`.
`LegType`	(Optional) `NINST`-by-`2` matrix. Each row represents an instrument. Each column indicates if the corresponding leg is fixed (`1`) or floating (`0`). This matrix defines the interpretation of the values entered in `LegRate`. Default is `[1,0]` for each instrument.

Data arguments are number of instruments (NINST)-by-1 vectors, scalar, or empty. Fill unspecified entries in vectors with NaN. Only one data argument is required to create the instrument; the others may be omitted or passed as empty matrices [].

Description

InstSet = instswap(InstSet, LegRate, Settle, Maturity,InstSetLegReset, Basis, Principal, LegType) creates a new instrument set containing swap instruments or adds swap instruments to an existing instrument set.

[FieldList, ClassList, TypeString] = instswap displays the classes.

FieldList is a number of fields (NFIELDS)-by-1 cell array of strings listing the name of each data field for this instrument type.

ClassList is an NFIELDS-by-1 cell array of strings listing the data class of each field. The class determines how arguments are parsed. Valid strings are 'dble', 'date', and 'char'.

TypeString is a string specifying the type of instrument added. For a swap instrument, TypeString = 'Swap'.

Examples

Create a vanilla swap with the following data:

LegRate = [0.065, 0]
Settle = 'jan-1-2007';    
Maturity = 'jan-1-2012';
LegReset = [1, 1];
Basis = 0
Principal = 100    
LegType = [1, 0]   

>> InstSet = instswap(LegRate, Settle, Maturity, LegReset, Basis, Principal, LegType);

View the swap instrument using instdisp:

>> instdisp(InstSet)

Index Type LegRate    Settle         Maturity       LegReset Basis Principal LegType
1     Swap [0.065  0] 01-Jan-2007    01-Jan-2012    1  1     0     100       [1  0]

instswap - Construct swap instrument

Syntax

Arguments

Description

Examples

See Also