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.

Note   You can either use Reset, Basis, Principal, and EndMonthRule as name-value pair arguments in any order, or you can specify these as optional input arguments in the following order: [Price PriceNoAI, CFlowAmounts, CFlowDates] = fixedbyzero(RateSpec, CouponRate, Settle, Maturity, Reset, Basis, Principal, EndMonthRule). The ordered optional input syntax and name-value pair syntax cannot be combined.

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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