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intenvprice - Price instruments from set of zero curves

Syntax

Price = intenvprice(RateSpec, InstSet)

Arguments

`RateSpec`	A structure containing the properties of an interest-rate structure. See `intenvset` for information on creating `RateSpec`.
`InstSet`	Variable containing a collection of instruments. Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or string for each instrument.

Description

Price = intenvprice(RateSpec, InstSet) computes arbitrage-free prices for instruments against a set of zero coupon bond rate curves.

Price is a number of instruments (NINST) by number of curves (NUMCURVES) matrix of prices of each instrument. If an instrument cannot be priced, a NaN is returned in that entry.

intenvprice handles the following instrument types: 'Bond', 'CashFlow', 'Fixed', 'Float', 'Swap'. See instadd for information about constructing defined types.

See single-type pricing functions to retrieve pricing information.

`bondbyzero`	Price bonds from a set of zero curves.
`cfbyzero`	Price arbitrary cash flow instrument from a set of zero curves.
`fixedbyzero`	Fixed-rate note prices from a set of zero curves.
`floatbyzero`	Floating-rate note prices from a set of zero curves.
`swapbyzero`	Swap prices from a set of zero curves.

Examples

Load the zero curves and instruments from a data file.

load deriv.mat
instdisp(ZeroInstSet)

Price = intenvprice(ZeroRateSpec, ZeroInstSet)

Price =

  98.7159
  97.5334
  98.7159
 100.5529
   3.6923

intenvprice - Price instruments from set of zero curves

Syntax

Arguments

Description

Examples

See Also