floatbyzero (Financial Derivatives Toolbox)

Price floating rate note prices by a set of zero curves

See Also

Price = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset, 
Basis, Principal)

Arguments

RateSpec
A structure encapsulating the properties of an interest rate structure. See intenvset for information on creating RateSpec.

Spread
Number of basis points over the reference 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.

`RateSpec`	A structure encapsulating the properties of an interest rate structure. See `intenvset` for information on creating `RateSpec`.
Spread	Number of basis points over the reference 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 = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset, Basis, Principal) computes the price of a floating rate note by a set of zero curves.

Price is a number of instruments (NINST) by number of curves (NUMCURVES) matrix of floating rate note prices. Each column arises from one of the zero curves.

Examples

Price a 20 basis point floating 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.

Spread = 20;
Settle = '01-Jan-2000';
Maturity = '01-Jan-2003';

Use floatbyzero to compute the Price of the note.

Price = floatbyzero(ZeroRateSpec, Spread, Settle, Maturity)

Price =

  100.5768

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