Financial Derivatives Toolbox | ![]() ![]() |
Price fixed rate note by a set of zero curves
Syntax
Price = fixedbyzero(RateSpec, CouponRate, Settle, Maturity, Reset, Basis, Principal)
Arguments
RateSpec |
A structure encapsulating the properties of an interest rate structure. See intenvset for information on creating RateSpec . |
CouponRate |
Decimal annual rate. |
Settle |
Settlement date. Settle must be earlier than or equal to Maturity . |
Maturity |
Maturity date. |
Reset |
(Optional) Frequency of settlements per year. Default = 1 . |
Basis | (Optional) Day count basis. Default = 0 (actual/actual). |
Principal |
(Optional) The notional principal amount. Default = 100 . |
All inputs are either scalars or NINST
-by-1
vectors unless otherwise specified. Any date may be a serial date number or date string. An optional argument may be passed as an empty matrix []
.
Description
Price = fixedbyzero(RateSpec, CouponRate, Settle, Maturity, Reset,
Basis, Principal)
computes the price of a fixed rate note by a set of zero curves.
Price
is a number of instruments (NINST
) by number of curves (NUMCURVES
) matrix of fixed rate note prices. Each column arises from one of the zero curves.
Examples
Price a 4% fixed rate note using a set of zero curves.
Load the file deriv.mat
, which provides ZeroRateSpec
, the interest rate term structure needed to price the note.
load deriv
Set the required values. Other arguments will use defaults.
CouponRate = 0.04; Settle = '01-Jan-2000'; Maturity = '01-Jan-2003';
Use fixedbyzero
to compute the Price
of the note.
Price = fixedbyzero(ZeroRateSpec, CouponRate, Settle, Maturity) Price = 105.7678
See Also
bondbyzero
, cfbyzero
, floatbyzero
, swapbyzero
![]() | fixedbyhjm | floatbyhjm | ![]() |