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cfbyzero

Price cash flows from set of zero curves

Syntax

Price = cfbyzero(RateSpec,CFlowAmounts,CFlowDates,Settle)
Price = cfbyzero(___,Basis)

Description

example

Price = cfbyzero(RateSpec,CFlowAmounts,CFlowDates,Settle) prices cash flows from a set of zero curves.

example

Price = cfbyzero(___,Basis) adds an optional argument.

Examples

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This example shows how to price a portfolio containing two cash flow instruments paying interest annually over the four-year period from January 1, 2000 to January 1, 2004. Load the file deriv.mat, which provides ZeroRateSpec. The ZeroRateSpec structure contains the interest-rate information needed to price the instruments.

load deriv.mat 
CFlowAmounts =[5 NaN 5.5 105;5 0 6 105];
CFlowDates = [730852, NaN, 731582,731947; 
              730852, 731217, 731582, 731947];
Settle = 730486;
Price = cfbyzero(ZeroRateSpec, CFlowAmounts, CFlowDates, Settle)
Price = 

   96.7804
   97.2187

Input Arguments

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Annualized zero rate term structure, specified by the RateSpec obtained from intenvset. For information on the interest-rate specification, see intenvset.

Data Types: struct

Cash flow amounts, specified as a Number of instruments (NINST) by maximum number of cash flows (MOSTCFS) matrix of cash flow amounts. Each row is a list of cash flow values for one instrument. If an instrument has fewer than MOSTCFS cash flows, the end of the row is padded with NaNs.

Data Types: double

Cash flow dates, specified as NINST-by-MOSTCFS matrix. Each entry contains the serial date number of the corresponding cash flow in CFlowAmounts.

Data Types: double

Settlement date on which the cash flows are priced, specified using a scalar or NINST-by-1 vector of serial date numbers or date character vectors of the same value which represent the settlement date for each cash flow. Settle must be earlier than Maturity.

Data Types: double | char

(Optional) Day-count basis of the instrument, specified as a vector of integers.

  • 0 = actual/actual

  • 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 (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, see basis.

Data Types: double

Output Arguments

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Cash flow prices, returned as a NINST-by-NUMCURVES matrix where each column arises from one of the zero curves.

Introduced before R2006a

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