| Contents | Index |
[Price, PriceNoAI, OutputCashFlows, CFlowDates] =
floatbyzero(RateSpec,
Spread, Settle, Maturity)
[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,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. |
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, OutputCashFlows, CFlowDate] = floatbyzero(RateSpec, Spread, 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.
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:
Default: actual |
EndMonthRule |
NINST-by-1 vector representing the End-of-month rule. Default: 1 |
ForwardRateSpec |
Forward rate spec to use in generating cash flows. Default: If not specified, then the RateSpec is used both for discounting cash flows and generating floating cash flows. |
Holidays |
Holidays used for business day convention. A NHOLIDAYS-by-1 of MATLAB date numbers. Default: If none specified, holidays.m is used. |
LatestFloatingRate |
Rate for the next floating payment, set at the last reset date. NINST-by-1 of scalars. Default: If not specified, then the RateSpec must contain this information. |
Principal |
The notional principal amount. Default: 100 |
Reset |
Frequency of payments per year. Default: 1 |
Price a 20-basis point floating-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.
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
bondbyzero | cfbyzero | fixedbyzero | swapbyzero
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