instbond - Construct bond instrument

InstSet

Instrument variable. This argument is specified only when adding bond instruments to an existing instrument set. See instget for more information on the InstSet variable.

CouponRate

Decimal annual rate indicating the annual percentage rate used to determine the coupons payable on a bond. CouponRate is a NINST-by-1 vector or NINST-by-1 cell array of decimal annual rates, or decimal annual rate schedules. For the latter case of a variable coupon schedule, each element of the cell array is a NumDates-by-2 cell array, where the first column is dates and the second column is its associated rate. The date indicates the last day that the coupon rate is valid.

Settle

Settlement date. A vector of serial date numbers or date strings. Settle must be earlier than Maturity.

Maturity

Maturity date. A vector of serial date numbers or date strings.

Period

(Optional) Coupons per year of the bond. A vector of integers. Allowed values are 1, 2, 3, 4, 6, and 12. Default = 2.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

• 0 = actual/actual (default)

• 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.

EndMonthRule

(Optional) End-of-month rule. A vector. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days. 0 = ignore rule, meaning that a bond's coupon payment date is always the same numerical day of the month. 1 = set rule on (default), meaning that a bond's coupon payment date is always the last actual day of the month.

IssueDate

(Optional) Date when a bond was issued.

FirstCouponDate

(Optional) Last coupon date of a bond before the maturity date; used when bond has an irregular last coupon period. In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate, regardless of where it falls, and is followed only by the bond's maturity cash flow date. If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

LastCouponDate

(Optional) Last coupon date of a bond before the maturity date; used when bond has an irregular last coupon period. In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate, regardless of where it falls, and is followed only by the bond's maturity cash flow date. If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

StartDate

(Optional) Date when a bond actually starts (i.e. the date when a bond's cash flows can be considered). To make an instrument forward starting, specify this date as a future date. If StartDate is not explicitly specified, the effective start date is the Settle date.

Face

(Optional) Face or par value. Face is a NINST-by-1 vector or NINST-by-1 cell array of face values, or face value schedules. For the latter case, each element of the cell array is a NumDates-by-2 cell array, where the first column is dates and the second column is its associated face value. The date indicates the last day that the face value is valid. Default = 100.