| Contents | Index |
[Price, PriceNoAI, OutputCashFlows, CFlowDates] =
floatbyzero(RateSpec,
Spread, Settle, Maturity)
[Price, PriceNoAI, OutputCashFlows, CFlowDates] =
floatbyzero(RateSpec,
Spread, Settle, Maturity,
Reset, Basis, Principal,
EndMonthRule,
LatestFloatingRate, ForwardRateSpec)
[Price PriceNoAI, OutputCashFlows, CFlowDates] =
floatbyzero(RateSpec,
Spread, Settle, Maturity,
Name, Value)
[Price, PriceNoAI, OutputCashFlows, CFlowDates] = floatbyzero(RateSpec, Spread, Settle, Maturity) computes the price of a floating-rate note from a set of zero curves.
[Price, PriceNoAI, OutputCashFlows, CFlowDates] = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset, Basis, Principal, EndMonthRule, LatestFloatingRate, ForwardRateSpec) computes the price of a floating-rate note from a set of zero curves using optional input arguments.
[Price PriceNoAI, OutputCashFlows, CFlowDates] = floatbyzero(RateSpec, Spread, Settle, Maturity,Name, Value) computes the price of a floating-rate note from a set of zero curves with additional options specified by one or more Name, Value pair arguments.
RateSpec |
Structure containing the properties of an interest-rate structure. See intenvset for information on creating RateSpec. |
Spread |
Number of basis points over the reference rate. |
Settle |
Settlement date. Settle must be earlier than Maturity. |
Maturity |
Maturity date. |
Enter the following optional inputs using an ordered syntax or as name-value pair arguments. You cannot mix ordered syntax with name-value pair arguments.
Reset |
NINST-by-1 vector representing the frequency of payments per year. Default: 1 |
Basis |
Day-count basis of the instrument. A vector of integers.
For more information, see basis. Default: 0 (actual/actual) |
Principal |
NINST-by-1 vector of notional principal amounts or NINST-by-1 cell array. For the latter case, each element of the cell array is a NumDates-by-2 matrix 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: 100 |
EndMonthRule |
End-of-month rule. NINST-by-1 vector. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days.
Default: 1 |
LatestFloatingRate |
Rate for the next floating payment set at the last reset date. NINST-by-1 of scalars. If this is not specified, the floating rate at the previous reset date must be computed from the RateSpec. |
ForwardRateSpec |
The RateSpec to be used in generating floating cash flows. If no ForwardRateSpec is specified then the RateSpec is used to generate floating cash flows. |
Specify 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 and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.
Price a 20-basis point floating-rate note using a set of zero curves.
Load deriv.mat, which provides ZeroRateSpec, the interest-rate term structure, needed to price the bond.
load deriv.mat;
Define the floating-rate note using the required arguments. Other arguments use defaults.
Spread = 20; Settle = '01-Jan-2000'; Maturity = '01-Jan-2003';
Use floatbyzero to compute the price of the note.
Price = floatbyzero(ZeroRateSpec, Spread, Settle, Maturity)
Price = 100.5529
Price an amortizing floating-rate note using the Principal input argument to define the amortization schedule.
Create the RateSpec.
Rates = [0.03583; 0.042147; 0.047345; 0.052707; 0.054302]; ValuationDate = '15-Nov-2011'; StartDates = ValuationDate; EndDates = {'15-Nov-2012';'15-Nov-2013';'15-Nov-2014' ;'15-Nov-2015';'15-Nov-2016'}; Compounding = 1; RateSpec = intenvset('ValuationDate', ValuationDate,'StartDates', StartDates,... 'EndDates', EndDates,'Rates', Rates, 'Compounding', Compounding)
RateSpec =
FinObj: 'RateSpec'
Compounding: 1
Disc: [5x1 double]
Rates: [5x1 double]
EndTimes: [5x1 double]
StartTimes: [5x1 double]
EndDates: [5x1 double]
StartDates: 734822
ValuationDate: 734822
Basis: 0
EndMonthRule: 1Create the floating-rate instrument using the following data:
Settle ='15-Nov-2011'; Maturity = '15-Nov-2015'; Spread = 15;
Define the floating-rate note amortizing schedule.
Principal ={{'15-Nov-2012' 100;'15-Nov-2013' 70;'15-Nov-2014' 40;'15-Nov-2015' 10}};Compute the price of the amortizing floating-rate note.
Price = floatbyzero(RateSpec, Spread, Settle, Maturity, 'Principal', Principal)Price = 100.3059
bondbyzero | cfbyzero | fixedbyzero | swapbyzero
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