floatbyzero - Price floating-rate note from set of zero curves

Syntax

[Price, PriceNoAI, OutputCashFlows, CFlowDates] = floatbyzero(RateSpec, Spread, Settle, Maturity) [Price PriceNoAI, OutputCashFlows, CFlowDates] = floatbyzero(RateSpec, Spread, Settle, Maturity, Name, Value)

Description

[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.

Input 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.

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, 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.
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
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

Output Arguments

Price

A number of instruments (NINST) by number of curves (NUMCURVES) matrix of floating-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.

OutputCashFlows

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

Note If there is more than one curve specified in the RateSpec input, then the first NCURVES rows correspond to the first bond, the second NCURVES rows correspond to the second bond, and so on.

CFlowDates

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

Examples

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

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R2011b Documentation → Financial Derivatives Toolbox
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`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`
`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`