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fixedbyzero - Price fixed-rate note from set of zero curves

Syntax

[Price, PriceNoAI, CFlowAmounts, CFlowDates] =
fixedbyzero(RateSpec, CouponRate, Settle, Maturity)
[Price PriceNoAI, CFlowAmounts, CFlowDates] =
fixedbyzero(RateSpec, CouponRate, Settle, Maturity,
Name, Value)

Description

[Price, PriceNoAI, CFlowAmounts, CFlowDates] = fixedbyzero(RateSpec, CouponRate, Settle, Maturity) computes the price of a fixed-rate note from a set of zero curves. All inputs are either scalars or NINST-by-1 vectors unless otherwise specified. Any date may be a serial date number or date string. An optional argument may be passed as an empty matrix [].

[Price PriceNoAI, CFlowAmounts, CFlowDates] = fixedbyzero(RateSpec, CouponRate, Settle, Maturity,Name, Value) computes the price of a fixed-rate note from a set of zero curves with additional options specified by one or more Name, Value pair arguments.

Input Arguments

RateSpec

Structure containing the properties of an interest-rate structure. See intenvset for information on creating RateSpec.

CouponRate

Decimal annual rate.

Settle

Settlement date. Settle must be earlier than Maturity.

Maturity

Maturity date.

Name-Value Pair Arguments

Optional comma-separated pairs of Name,Value arguments, where Name is the argument name and Value is the corresponding value. Name must appear inside single quotes (''). You can specify several name-value pair arguments in any order as Name1,Value1,…,NameN,ValueN.

AdjustCashFlowsBasis

Adjust the cash flows based on the actual period day count. NINST-by-1 of logicals.

Default: False

Basis

Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual

  • 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/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

Default: 0 (actual/actual)

BusinessDayConvention

Require payment dates to be business dates. NINST-by-1 cell array with possible choices for business day convention:

  • actual

  • follow

  • modifiedfollow

  • previous

  • modifiedprevious

Default: actual

EndMonthRule

NINST-by-1 vector representing the End-of-month rule.

Default: 1

Holidays

Holidays used for business day convention. A NHOLIDAYS-by-1 of MATLAB date numbers.

Default: If none specified, holidays.m is used.

Principal

The notional principal amount.

Default: 100.

Reset

(Optional) Frequency of payments per year.

Default: 1

Output Arguments

Price

A number of instruments (NINST) by number of curves (NUMCURVES) matrix of fixed-rate note prices. Each column arises from one of the zero curves.

PriceNoAI

A NINST-by-NUMCURVES matrix of dirty bond price (clean + accrued interest). Each column arises from one of the zero curves.

CFlowAmounts

A NINST-by-NUMCFS matrix of cash flows for each bond.

CFlowDates

A NINST-by-NUMCFS matrix of payment dates for each bond.

Examples

Price a 4% fixed-rate note using a set of zero curves. Load the file deriv.mat, which provides ZeroRateSpec, the interest-rate term structure needed to price the note.

load deriv.mat 

Set the required values. Other arguments will use defaults.

CouponRate = 0.04;
Settle = '01-Jan-2000';
Maturity = '01-Jan-2003';

Use fixedbyzero to compute the price of the note:

Price = fixedbyzero(ZeroRateSpec, CouponRate, Settle, Maturity)

Price =

  98.7159

See Also

bondbyzero | cfbyzero | floatbyzero | swapbyzero

  


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