cfbyzero

Price cash flows from set of zero curves

Syntax

Price = cfbyzero(RateSpec,CFlowAmounts,CFlowDates,Settle)

Price = cfbyzero(___,Basis)

Description

Price = cfbyzero(RateSpec,CFlowAmounts,CFlowDates,Settle) prices cash flows from a set of zero curves.

Price = cfbyzero(___,Basis) adds an optional argument.

Examples

Compute the Price and Sensitivity From the Interest-Rate Term Structure

This example shows how to price a portfolio containing two cash flow instruments paying interest annually over the four-year period from January 1, 2000 to January 1, 2004. Load the file deriv.mat, which provides ZeroRateSpec. The ZeroRateSpec structure contains the interest-rate information needed to price the instruments.

load deriv.mat 
CFlowAmounts =[5 NaN 5.5 105;5 0 6 105];
CFlowDates = [730852, NaN, 731582,731947; 
              730852, 731217, 731582, 731947];
Settle = 730486;
Price = cfbyzero(ZeroRateSpec, CFlowAmounts, CFlowDates, Settle)

Price = 2×1

   96.7804
   97.2187

Input Arguments

RateSpec — Annualized zero rate term structure

structure

Annualized zero rate term structure, specified by the RateSpec obtained from intenvset. For information on the interest-rate specification, see intenvset.

Data Types: struct

CFlowAmounts — Cash flow amounts

matrix

Cash flow amounts, specified as a Number of instruments (NINST) by maximum number of cash flows (MOSTCFS) matrix of cash flow amounts. Each row is a list of cash flow values for one instrument. If an instrument has fewer than MOSTCFS cash flows, the end of the row is padded with NaNs.

Data Types: double

CFlowDates — Cash flow dates

matrix

Cash flow dates, specified as NINST-by-MOSTCFS matrix. Each entry contains the serial date number of the corresponding cash flow in CFlowAmounts.

Data Types: double

Settle — Settlement date on which cash flows are priced

serial date number | date character vector

Settlement date on which the cash flows are priced, specified using a scalar or NINST-by-1 vector of serial date numbers or date character vectors of the same value which represent the settlement date for each cash flow. Settle must be earlier than Maturity.

Data Types: double | char

Basis — Day-count basis of instrument

0 (actual/actual) (default) | integer from 0 to 13

(Optional) Day-count basis of the instrument, specified as a vector of integers.

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 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/365 (ISDA)

• 13 = BUS/252

For more information, see basis.

Data Types: double

Output Arguments

Price — Cash flow prices

matrix

Cash flow prices, returned as a NINST-by-NUMCURVES matrix where each column arises from one of the zero curves.