Price cash flows from set of zero curves
cash flows from a set of zero curves.
Price = cfbyzero(
Compute the Price and Sensitivity From the Interest-Rate Term Structure
This example shows how to price a portfolio containing two cash flow instruments paying interest annually over the four-year period from January 1, 2000 to January 1, 2004. Load the file
deriv.mat, which provides
ZeroRateSpec structure contains the interest-rate information needed to price the instruments.
load deriv.mat CFlowAmounts =[5 NaN 5.5 105;5 0 6 105]; CFlowDates = [730852, NaN, 731582,731947; 730852, 731217, 731582, 731947]; Settle = 730486; Price = cfbyzero(ZeroRateSpec, CFlowAmounts, CFlowDates, Settle)
Price = 2×1 96.7804 97.2187
CFlowAmounts — Cash flow amounts
Cash flow amounts, specified as a Number of instruments (
by maximum number of cash flows (
of cash flow amounts. Each row is a list of cash flow values for one
instrument. If an instrument has fewer than
flows, the end of the row is padded with
CFlowDates — Cash flow dates
serial date number
Cash flow dates, specified as
using serial date numbers. Each entry contains the serial date number of the
corresponding cash flow in
Settle — Settlement date on which cash flows are priced
serial date number | date character vector
Settlement date on which the cash flows are priced, specified using a
1 vector with serial date
numbers or date character vectors of the same value which represent the
settlement date for each cash flow.
Settle must be
Basis — Day-count basis of instrument
0 (actual/actual) (default) | integer from
(Optional) Day-count basis of the instrument, specified as a vector of integers.
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.
Price — Cash flow prices
Cash flow prices, returned as a
where each column arises from one of the zero curves.
Introduced before R2006a