Price = intenvprice(RateSpecInstSet)
computes arbitrage-free prices for instruments against a set of zero coupon bond
rate curves.
intenvprice handles the following instrument types:
'Bond', 'CashFlow',
'Fixed', 'Float',
'Swap'. See instadd for information about
constructing defined types.
Index Type CouponRate Settle Maturity Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face Name Quantity
1 Bond 0.04 01-Jan-2000 01-Jan-2003 1 NaN NaN NaN NaN NaN NaN NaN 4% bond 100
2 Bond 0.04 01-Jan-2000 01-Jan-2004 2 NaN NaN NaN NaN NaN NaN NaN 4% bond 50
Index Type CouponRate Settle Maturity FixedReset Basis Principal Name Quantity
3 Fixed 0.04 01-Jan-2000 01-Jan-2003 1 NaN NaN 4% Fixed 80
Index Type Spread Settle Maturity FloatReset Basis Principal Name Quantity
4 Float 20 01-Jan-2000 01-Jan-2003 1 NaN NaN 20BP Float 8
Index Type LegRate Settle Maturity LegReset Basis Principal LegType Name Quantity
5 Swap [0.06 20] 01-Jan-2000 01-Jan-2003 [1 1] NaN NaN [NaN] 6%/20BP Swap 10
InstSet — Instrument variable containing a collection of instruments structure
Instrument variable containing a collection of instruments, specified
using instadd. Instruments are
categorized by type; each type can have different data fields. The stored
data field is a row vector or character vector for each instrument.
Prices of each instrument, returned as a number of instruments
(NINST) by number of curves
(NUMCURVES) matrix. If an instrument cannot be
priced, a NaN is returned in that entry.
For single-type pricing functions to retrieve pricing information, see the
following:
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