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| R2012a Documentation → Fixed-Income Toolbox | |
Learn more about Fixed-Income Toolbox |
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| Contents | Index |
[FixedSpec, ForwardDates, ForwardRates] = liborfloat2fixed(ThreeMonthRates, Settle, Tenor, StartDate, Interpolation, ConvexAdj, RateParam, InArrears, Sigma, FixedCompound, FixedBasis)
| ThreeMonthRates | Three-month Eurodollar futures data or forward rate agreement data. (A forward rate agreement stipulates that a certain interest rate applies to a certain principal amount for a given future time period.) An n-by-3 matrix in the form of [month year IMMQuote]. The floating rate is assumed to compound quarterly and to accrue on an actual/360 basis. |
| Settle | Settlement date of the swap. Scalar. |
| Tenor | Life of the swap. Scalar. |
| StartDate | (Optional) Scalar value to denote reference date for valuation of (forward) swap. This in effect allows forward swap valuation. Default = Settle. |
| Interpolation | (Optional) Interpolation method to determine applicable forward rate for months when no Eurodollar data is available. Default is 'linear' or 1. Other possible values are 'Nearest' or 0, and 'Cubic' or 2. |
| ConvexAdj | (Optional) Default = 0 (off). 1 = on. Denotes whether futures/forward convexity adjustment is required. Pertains to forward rate adjustments when those rates are taken from Eurodollar futures data. |
| RateParam | (Optional) Short-rate model's parameters (Hull-White) [a S], where the short-rate process is: Default = [0.05 0.015]. |
| InArrears | (Optional) Default = 0 (off). Set to 1 for on. If on, the routine does an automatic a convexity adjustment to forward rates. |
| Sigma | (Optional) Overall annual volatility of caplets. |
| FixedCompound | (Optional) Scalar value. Compounding or frequency of payment on the fixed side. Also, the reset frequency. Default = 4 (quarterly). Other values are 1, 2, and 12. |
| FixedBasis | (Optional) Scalar value. Basis of the fixed side.
For more information, see basis. |
[FixedSpec, ForwardDates, ForwardRates] = liborfloat2fixed(ThreeMonthRates, Settle, Tenor, StartDate, Interpolation, ConvexAdj, RateParam, InArrears, Sigma, FixedCompound, FixedBasis) computes forward rates, dates, and the swap fixed rate.
FixedSpec specifies the structure of the fixed-rate side of the swap:
Coupon: Par-swap rate
Settle: Start date
Maturity: End date
Period: Frequency of payment
Basis: Accrual basis
ForwardDates are dates corresponding to ForwardRates (all third Wednesdays of the month, spread 3 months apart). The first element is the third Wednesday immediately after Settle.
ForwardRates are forward rates corresponding to the forward dates, quarterly compounded, and on the actual/360 basis.
Note To preserve input integrity, Tenor is rounded upward to the closest integer. Currently traded tenors are 2, 5, and 10 years. |
The function assumes that floating-rate observations occur quarterly on the third Wednesday of a delivery month. The first delivery month is the month of the first third Wednesday after Settle. Floating-side payments occur on the third-month anniversaries of observation dates.
Use the supplied EDdata.xls file as input to a liborfloat2fixed computation.
[EDFutData, textdata] = xlsread('EDdata.xls');
Settle = datenum('15-Oct-2002');
Tenor = 2;
[FixedSpec, ForwardDates, ForwardRates] =...
liborfloat2fixed(EDFutData(:,1:3), Settle, Tenor)
FixedSpec =
Coupon: 0.0222
Settle: '16-Oct-2002'
Maturity: '16-Oct-2004'
Period: 4
Basis: 1
ForwardDates =
731505
731596
731687
731778
731869
731967
732058
732149
ForwardRates =
0.0177
0.0166
0.0170
0.0188
0.0214
0.0248
0.0279
0.0305
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