| Financial Derivatives Toolbox™ | |
Price = intenvprice(RateSpec, InstSet)
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. |
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.
Price bonds from a set of zero curves. | |
Price arbitrary cash flow instrument from a set of zero curves. | |
Fixed-rate note prices from a set of zero curves. | |
Floating-rate note prices from a set of zero curves. | |
Swap prices from a set of zero curves. |
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
hjmprice, hjmsens, instadd, intenvsens, intenvset
| intenvget | intenvsens | |
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