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instfloor

Construct floor instrument

Syntax

InstSet = instfloor(Strike,Settle,Maturity,Reset,Basis,Principal)
InstSet = instfloor(InstSet,Strike,Settle,Maturity,Reset,Basis,Principal)
[FieldList,ClassList,TypeString] = instfloor

Arguments

InstSet

Instrument variable. This argument is specified only when adding floor instruments to an existing instrument set. See instget for more information on the InstSet variable.

Strike

Rate at which the floor is exercised, as a decimal number.

Settle

Settlement date. A vector of serial date numbers or date character vectors. Settle must be earlier than Maturity.

Maturity

Maturity date. A vector of serial date numbers or date character vectors.

Reset

(Optional) NINST-by-1 vector representing the 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 (BMA)

  • 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.

Principal

(Optional) NINST-by-1 of notional principal amounts or NINST-by-1 cell array where each element is a NumDates-by-2 cell array where the first column is dates and the second column is associated principal amount. The date indicates the last day that the principal value is valid. Default is 100.

Description

InstSet = instfloor(Strike,Settle,Maturity,Reset,Basis,Principal) creates a new instrument set containing floor instruments.

InstSet = instfloor(InstSet,Strike,Settle,Maturity,Reset,Basis,Principal) adds floor instruments to an existing instrument set.

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

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

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

TypeString is a character vector specifying the type of instrument added. For a floor instrument, TypeString = 'Floor'.

Note

Use the optional argument, Principal, to pass a schedule for an amortizing floor.

Examples

collapse all

Define the characteristics of the floor instrument.

Strike = 0.22;
Settle = datenum('15-Mar-2013');
Maturity = datenum('15-Mar-2018');
Reset = 4;
Basis = 1;
Principal = 1000;

Create the new floor instrument.

ISet = instfloor(Strike, Settle, Maturity, Reset, Basis, Principal)
ISet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Floor'}
     FieldName: {{6x1 cell}}
    FieldClass: {{6x1 cell}}
     FieldData: {{6x1 cell}}

Display the floor instrument.

instdisp(ISet)
Index Type  Strike Settle         Maturity       FloorReset Basis Principal
1     Floor 0.22   15-Mar-2013    15-Mar-2018    4          1     1000     
 

Introduced before R2006a

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