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intenvprice

Price instruments from set of zero curves

Description

example

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

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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

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

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

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(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

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

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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