intenvprice

Price instruments from set of zero curves

Syntax

Price = intenvprice(RateSpecInstSet)

Description

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.

Examples

Load Zero Curves and Instruments from Data File

Load the zero curves and instruments.

load deriv.mat
instdisp(ZeroInstSet)

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      
 

Price the instruments.

Price = intenvprice(ZeroRateSpec, ZeroInstSet)

Price = 5×1

   98.7159
   97.5334
   98.7159
  100.5529
    3.6923

Create a Float-Float Swap and Price with intenvprice

Use instswap to create a float-float swap and price the swap with intenvprice.

RateSpec = intenvset('Rates',.05,'StartDate',today,'EndDate',datemnth(today,60));
IS = instswap([400 200],today,datemnth(today,60),[], [], [], [0 0]);
intenvprice(RateSpec,IS)

ans = 8.6440

Create Float-Float, Fixed-Fixed, and Float-Fixed Swaps and Price with intenvprice

Use instswap to create swaps and price the swaps with intenvprice.

RateSpec = intenvset('Rates',.05,'StartDate',today,'EndDate',datemnth(today,60));
IS = instswap([.03 .02],today,datemnth(today,60),[], [], [], [1 1]);
IS = instswap(IS,[200 300],today,datemnth(today,60),[], [], [], [0 0]);
IS = instswap(IS,[300 .07],today,datemnth(today,60),[], [], [], [0 1]);
intenvprice(RateSpec,IS)

ans = 3×1

    4.3220
   -4.3220
    4.5921

Input Arguments

RateSpec — Interest-rate specification

structure

(Optional) Interest-rate specification, specified by the RateSpec obtained previously from intenvset or toRateSpec for an IRDataCurve or toRateSpec for an IRFunctionCurve.

Data Types: struct

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.

Data Types: struct

Output Arguments

Price — Prices of each instrument

matrix

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:

bondbyzero	Price bonds from a set of zero curves.
cfbyzero	Price arbitrary cash flow instrument from a set of zero curves.
fixedbyzero	Fixed-rate note prices from a set of zero curves.
floatbyzero	Floating-rate note prices from a set of zero curves.
swapbyzero	Swap prices from a set of zero curves.

Version History

Introduced before R2006a