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STIRFuture

STIRFuture instrument object

Description

Create and price a STIRFuture instrument object for one or more STIR future instruments using this workflow:

  1. Use fininstrument to create a STIRFuture instrument object for one or more STIR future instruments.

  2. Use ratecurve to specify an interest-rate model for the STIRFuture instrument object.

  3. Use finpricer to specify a Discount pricing method for one or more STIRFuture instruments.

Create a STIRFuture instrument object for one or more STIR future instruments to use in curve construction using this workflow:

  1. Use fininstrument to create a STIRFuture instrument object for one or more STIR future instruments.

  2. Use irbootstrap to create an interest-rate curve (ratecurve) for one or more STIRFuture instruments. In addition, you can use the irbootstrap optional name-value input argument ConvexityAdjustment to specify a convexity adjustment for the STIRFuture instruments.

For more information on these workflows, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available models and pricing methods for a STIRFuture instrument, see Choose Instruments, Models, and Pricers.

Creation

Description

example

STIRFutureInst = fininstrument(InstrumentType,'QuotedPrice',quoted_stir_price,'Maturity',maturity_date,'RateEndDate',rate_end_date) creates a STIRFuture object for one or more STIR future instruments by specifying InstrumentType, QuotedPrice, Maturity, and EndDate.

example

STIRFutureInst = fininstrument(___,Name,Value) sets optional properties using additional name-value pairs in addition to the required arguments in the previous syntax. For example, STIRFutureInst = fininstrument("STIRFuture",'QuotedPrice',99.5,'Maturity',datetime(2022,12,15),'RateEndDate',datetime(2022,6,15)) creates a STIR future instrument. You can specify multiple name-value pairs.

Input Arguments

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Instrument type, specified as a string with the value of "STIRFuture", a character vector with the value of 'STIRFuture', an NINST-by-1 string array 'with values of "STIRFuture", or an NINST-by-1 cell array of character vectors with values of 'STIRFuture'.

Data Types: char | cell | string

STIRFuture Name-Value Pair Arguments

Specify required and optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: STIRFutureInst = fininstrument("STIRFuture",'QuotedPrice',99.5,'Maturity',datetime(2022,12,15),'RateEndDate',datetime(2022,6,15))
Required STIRFuture Name-Value Pair Arguments

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STIR future quoted price, specified as the comma-separated pair consisting of 'Notional' and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

STIR future maturity date, specified as the comma-separated pair consisting of 'Maturity' and a scalar datetime, serial date number, date character vector, date string, or an NINST-by-1 vector of datetimes, serial date numbers, cell array of date character vectors, or date string array.

If you use date character vectors or date strings, the format must be recognizable by datetime because the Maturity property is stored as a datetime.

Data Types: char | cell | double | string | datetime

STIR future underlying rate end date, specified as the comma-separated pair consisting of 'RateEndDate' and a scalar datetime, serial date number, date character vector, date string, or an NINST-by-1 vector of datetimes, serial date numbers, cell array of date character vectors, or date string array.

If you use date character vectors or date strings, the format must be recognizable by datetime because the RateEndDate property is stored as a datetime.

Data Types: char | cell | double | string | datetime

Optional STIRFuture Name-Value Pair Arguments

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Day count basis, specified as the comma-separated pair consisting of 'Basis' and a scalar integer or an NINST-by-1 vector of integers for the following:

  • 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

Notional principal amount, specified as the comma-separated pair consisting of 'Principal' and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Business day convention for cash flow dates, specified as the comma-separated pair consisting of 'BusinessDayConvention' and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array. The selection for business day convention determines how nonbusiness days are treated. Nonbusiness days are defined as weekends plus any other date that businesses are not open (for example, statutory holidays). Values are:

  • "actual" — Nonbusiness days are effectively ignored. Cash flows that fall on nonbusiness days are assumed to be distributed on the actual date.

  • "follow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day.

  • "modifiedfollow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day. However, if the following business day is in a different month, the previous business day is adopted instead.

  • "previous" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day.

  • "modifiedprevious" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day. However, if the previous business day is in a different month, the following business day is adopted instead.

Data Types: char | cell | string

Holidays used in computing business days, specified as the comma-separated pair consisting of 'Holidays' and dates using an NINST-by-1 vector of datetimes, serial date numbers, cell array of date character vectors, or date string array. For example:

H = holidays(datetime('today'),datetime(2025,12,15));
STIRFutureInst = fininstrument("STIRFuture",'Maturity',datetime(2022,12,15),'Price',99.5,'ExerciseDate',datetime(2022,6,15),'Holidays',H)

Data Types: double | cell | datetime | string

Projection curve used to price STIR future, specified as the comma-separated pair consisting of 'ProjectionCurve' and a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects. These objects must be created using ratecurve. Use this optional input if the forward curve is different from the discount curve.

Data Types: object

User-defined name for the instrument, specified as the comma-separated pair consisting of 'Name' and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array.

Data Types: char | cell | string

Properties

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STIR Future quoted price, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

STIR future maturity date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

STIR future underlying rate end date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

Day count basis, returned as a scalar integer or an NINST-by-1 vector of integers.

Data Types: double

Notional principal amount, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Business day convention for cash flow dates, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Holidays used in computing business days, returned as an NINST-by-1 vector of datetimes.

Data Types: datetime

Projection curve used to price STIR future, returned as a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects.

Data Types: object

User-defined name for the instrument, returned as a string or an NINST-by-1 string array.

Data Types: string

Object Functions

cashflowsCompute cash flow for FixedBond, FloatBond, Swap, FRA, STIRFuture, OISFuture, OvernightIndexedSwap, or Deposit instrument

Examples

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This example shows the workflow to price a STIRFuture instrument when you use a ratecurve object and a Discount pricing method.

Create ratecurve Object

Create a ratecurve object using ratecurve for the underlying interest-rate curve for the STIRFuture instrument.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create STIRFuture Instrument Object

Use fininstrument to create a STIRFuture instrument object.

STIRFuture = fininstrument("STIRFuture",'Maturity',datetime(2022,9,15),'QuotedPrice',99.5,'RateEndDate',datetime(2022,12,15),'Notional',500,'Name',"stir_future_instrument")
STIRFuture = 
  STIRFuture with properties:

              QuotedPrice: 99.5000
                    Basis: 2
              RateEndDate: 15-Dec-2022
                 Maturity: 15-Sep-2022
                 Notional: 500
    BusinessDayConvention: "actual"
                 Holidays: NaT
          ProjectionCurve: [0x0 ratecurve]
                     Name: "stir_future_instrument"

Create Discount Pricer Object

Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount", 'DiscountCurve',myRC)
outPricer = 
  Discount with properties:

    DiscountCurve: [1x1 ratecurve]

Price STIRFuture Instrument

Use price to compute the price and sensitivities for the STIRFuture instrument.

[Price, outPR] = price(outPricer,STIRFuture,["all"])
Price = 97.3030
outPR = 
  priceresult with properties:

       Results: [1x2 table]
    PricerData: []

outPR.Results
ans=1×2 table
    Price       DV01  
    ______    ________

    97.303    0.041513

This example shows the workflow to price multiple STIRFuture instruments when you use a ratecurve object and a Discount pricing method.

Create ratecurve Object

Create a ratecurve object using ratecurve for the underlying interest-rate curve for the STIRFuture instrument.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create STIRFuture Instrument Object

Use fininstrument to create a STIRFuture instrument object for three STIR future instruments.

STIRFuture = fininstrument("STIRFuture",'Maturity',datetime([2022,4,15 ; 2022,5,15 ; 2022,6,15]),'QuotedPrice',[99.5 ; 101 ; 105],'RateEndDate',datetime([2022,7,15 ; 2022,8,15 ; 2022,9,15]),'Notional',500,'Name',"stir_future_instrument")
STIRFuture=3×1 object
  3x1 STIRFuture array with properties:

    QuotedPrice
    Basis
    RateEndDate
    Maturity
    Notional
    BusinessDayConvention
    Holidays
    ProjectionCurve
    Name

Create Discount Pricer Object

Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount", 'DiscountCurve',myRC)
outPricer = 
  Discount with properties:

    DiscountCurve: [1x1 ratecurve]

Price STIRFuture Instruments

Use price to compute the prices for the STIRFuture instruments.

Price = price(outPricer,STIRFuture)
Price = 3×1

   98.2155
   98.8120
   97.6983

More About

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Introduced in R2021b