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OISFuture

OISFuture instrument object

Description

Create and price an OISFuture instrument object for one or more one-month or three-month future instruments using this workflow:

  1. Use fininstrument to create an OISFuture instrument object for one or more OIS Future instruments.

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

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

Create an OISFuture instrument object for one or more OIS futures instruments to use in curve construction using this workflow:

  1. Use fininstrument to create an OISFuture instrument object for one or more OIS future instruments.

  2. Use irbootstrap to create an interest-rate curve (ratecurve) for one or more OISFuture 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 an OISFuture instrument, see Choose Instruments, Models, and Pricers.

Creation

Description

example

OISFutureInst = fininstrument(InstrumentType,'QuotedPrice',OIS_quoted_price,'Maturity',maturity_date,'StartDate',start_date) creates an OISFuture instrument object for one or more OIS future instruments by specifying InstrumentType, QuotedPrice, Maturity, and StartDate.

The OISFuture instrument supports many alternative reference rate (ARR) securities that are compliant with standards from the International Organization of Securities Commissions (IOSCO). For example, ARRs like SOFR, EONIA, SONIA, SARON, and TONAR focus on risk-free rate or near risk-free rates based on transactions of overnight funding.

example

OISFutureInst = fininstrument(___,Name,Value) sets optional properties using additional name-value pairs in addition to the required arguments in the previous syntax. For example, OISFutureInst = fininstrument("OISFuture",'QuotedPrice',99.5,'Maturity',datetime(2022,12,15),'StartDate',datetime(2022,9,15)) creates an OIS 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 "OISFuture", a character vector with the value of 'OISFuture', an NINST-by-1 string array with values of "OISFuture", or an NINST-by-1 cell array of character vectors with values of 'OISFuture'.

Data Types: char | cell | string

OISFuture 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: OISFutureInst = fininstrument("OISFuture",'QuotedPrice',99.5,'Maturity',datetime(2022,12,15),'StartDate',datetime(2022,9,15))
Required OISFuture Name-Value Pair Arguments

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

Data Types: double

OIS 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

OIS future underlying rate end date, specified as the comma-separated pair consisting of 'StartDate' 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 StartDate property is stored as a datetime.

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

Optional OISFuture Name-Value Pair Arguments

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Computation method, specified as the comma-separated pair consisting of 'Method' and a scalar character vector or string or an NINST-by-1 cell array of character vectors or string array.

Data Types: cell | char | string

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 'Notional' 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));
OISFutureInst = fininstrument("OISFuture",'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 OIS 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

Historical fixing for OISFuture, specified as the comma-separated pair consisting of 'HistoricalFixing' and a timetable.

Data Types: timetable

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

Data Types: double

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

Data Types: datetime

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

Data Types: datetime

Computation method, returned as a string or an NINST-by-1 string array.

Data Types: string

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 flows, 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 OIS future, returned as a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects.

Data Types: object

Historical fixing for OISFuture, returned as a timetable.

Data Types: timetable

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 an OISFuture instrument for a one-month SOFR future 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 OISFuture instrument.

Settle = datetime(2021,1,15);
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-Jan-2021
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create OISFuture Instrument Object

Use fininstrument to create an OISFuture instrument object for a one-month SOFR future.

HFDates = datetime(2021,3,1) + caldays(0:3)';
HistFixing = timetable(HFDates,[0.02;0.04;0.04;0.02]);

% Data from the following: https://www.cmegroup.com/trading/interest-rates/stir/one-month-sofr_quotes_globex.html
Prices_1M = 99.97;
Maturity_1M = lbusdate(2021,3,[],[],'datetime');
StartDate_1M = fbusdate(2021,3,[],[],'datetime');
FutInstrument_1M = fininstrument("OISFuture","Maturity",Maturity_1M ,"QuotedPrice",Prices_1M,"StartDate",StartDate_1M,"Method","Average",...
    'HistoricalFixing',HistFixing,'Name',"1MonthSOFRFuture")
FutInstrument_1M = 
  OISFuture with properties:

              QuotedPrice: 99.9700
                   Method: "average"
                    Basis: 2
                StartDate: 01-Mar-2021
                 Maturity: 31-Mar-2021
                 Notional: 100
    BusinessDayConvention: "actual"
                 Holidays: NaT
          ProjectionCurve: [0x0 ratecurve]
         HistoricalFixing: [4x1 timetable]
                     Name: "1MonthSOFRFuture"

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 OISFuture Instrument for SOFR Future

Use price to compute the price and sensitivities for the OISFuture instrument for a one-month SOFR future.

[Price,outPR] = price(outPricer,FutInstrument_1M,["all"])
Price = 0.0408
outPR = 
  priceresult with properties:

       Results: [1x2 table]
    PricerData: []

outPR.Results
ans=1×2 table
     Price        DV01    
    _______    ___________

    0.04079    -0.00083163

This example shows the workflow to price multiple OISFuture instruments for one-month SOFR futures and three-month SOFR futures 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 OISFuture instruments.

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 OISFuture Instrument Objects for SOFR Futures

Use fininstrument to create an OISFuture instrument object for one-month SOFR futures.

HFDates = datetime(2021,3,1) + caldays(0:3)';
HistFixing = timetable(HFDates,[0.02;0.04;0.04;0.02]);

% Data from the following: https://www.cmegroup.com/trading/interest-rates/stir/one-month-sofr_quotes_globex.html
Prices_1M = [99.97 99.96 99.95]';
Maturity_1M = lbusdate(2021,[3 4 5]',[],[],'datetime');
StartDate_1M = fbusdate(2021,[3 4 5]',[],[],'datetime');
FutInstruments_1M = fininstrument("OISFuture","Maturity",Maturity_1M ,"QuotedPrice",Prices_1M,"StartDate",StartDate_1M,"Method","Average",...
    'HistoricalFixing',HistFixing,'Name',"1MonthSOFRFuture")
FutInstruments_1M=3×1 object
  3x1 OISFuture array with properties:

    QuotedPrice
    Method
    Basis
    StartDate
    Maturity
    Notional
    BusinessDayConvention
    Holidays
    ProjectionCurve
    HistoricalFixing
    Name

Use fininstrument to create an OISFuture instrument object for three-month SOFR futures.

% Data from the following: https://www.cmegroup.com/trading/interest-rates/stir/three-month-sofr_quotes_globex.html
Prices_3M = [99.92 99.895 99.84 99.74]';
Dates_3M_Maturity = thirdwednesday([6 9 12 3]',[2021 2021 2021 2022]','datetime');
Dates_3M_Start = thirdwednesday([3 6 9 12]',2021,'datetime');
FutInstruments_3M = fininstrument("OISFuture","Maturity",Dates_3M_Maturity,...
    "QuotedPrice",Prices_3M,"StartDate",Dates_3M_Start,'HistoricalFixing',HistFixing,'Name',"3MonthSOFRFuture")
FutInstruments_3M=4×1 object
  4x1 OISFuture array with properties:

    QuotedPrice
    Method
    Basis
    StartDate
    Maturity
    Notional
    BusinessDayConvention
    Holidays
    ProjectionCurve
    HistoricalFixing
    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 OISFuture Instruments for SOFR Futures

Use price to compute the prices for the OISFuture instruments for one-month and three-month SOFR futures.

Price = price(outPricer,[FutInstruments_1M ; FutInstruments_3M])
Price = 7×1

    0.0527
    0.0509
    0.0439
    0.1511
    0.1520
    0.1791
    0.1687

More About

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Introduced in R2021b