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intenvsens

Instrument price and sensitivities from set of zero curves

Syntax

[Delta, Gamma, Price] = intenvsens(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

[Delta, Gamma, Price] = intenvsens(RateSpec, InstSet) computes dollar prices and price sensitivities for instruments that use a zero coupon bond rate structure.

Delta is a number of instruments (NINST) by number of curves (NUMCURVES) matrix of deltas, representing the rate of change of instrument prices with respect to shifts in the observed forward yield curve. Delta is computed by finite differences.

Gamma is an NINST-by-NUMCURVES matrix of gammas, representing the rate of change of instrument deltas with respect to shifts in the observed forward yield curve. Gamma is computed by finite differences.

    Note   Both sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Price is an NINST-by-NUMCURVES matrix of prices of each instrument. If an instrument cannot be priced, a NaN is returned.

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

Examples

Load the tree and instruments from a data file.

load deriv.mat
instdisp(ZeroInstSet)
Index Type CouponRate Settle         Maturity       Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face Name    Quantity
1     Bond 0.04       01-Jan-2000    01-Jan-2003    1      NaN   NaN          NaN       NaN             NaN            NaN       NaN  4% bond 100     
2     Bond 0.04       01-Jan-2000    01-Jan-2004    2      NaN   NaN          NaN       NaN             NaN            NaN       NaN  4% bond  50     
 
Index Type  CouponRate Settle         Maturity       FixedReset Basis Principal Name     Quantity
3     Fixed 0.04       01-Jan-2000    01-Jan-2003    1          NaN   NaN       4% Fixed 80      
 
Index Type  Spread Settle         Maturity       FloatReset Basis Principal Name       Quantity
4     Float 20     01-Jan-2000    01-Jan-2003    1          NaN   NaN       20BP Float 8       
 
Index Type LegRate    Settle         Maturity       LegReset Basis Principal LegType Name         Quantity
5     Swap [0.06  20] 01-Jan-2000    01-Jan-2003    [1  1]   NaN   NaN       [NaN]   6%/20BP Swap 10      
 
[Delta, Gamma] = intenvsens(ZeroRateSpec, ZeroInstSet)
Delta =

 -272.6403
 -347.4386
 -272.6403
   -1.0445
 -282.0405

Gamma =

  1.0e+003 *

    1.0298
    1.6227
    1.0298
    0.0033
    1.0596

See Also

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