CMSNote
Description
Create and price a CMSNote
(constant maturity swap note)
instrument object for one or more CMS Note instruments using this
workflow:
Use
fininstrument
to create aCMSNote
instrument object for one or more CMS Note instruments.Use
finmodel
to specify aCMSConvexityHull
model object for theCMSNote
instrument object.Use
finpricer
to specify aCMSConvexityHull
pricing method for theCMSNote
instrument object.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
Creation
Syntax
Description
creates a CMSNoteInstrument
= fininstrument(InstrumentType
,Maturity
=maturity_date,CMSReferenceTenor
=reference_tenor_value)CMSNote
object for one or more CMS Note
instruments by specifying InstrumentType
and sets the
properties for the
required name-value pair arguments Maturity
and
CMSReferenceTenor
.
The CMSNote
instrument supports CMS-linked notes
(bonds). For more information on a CMSNote
instrument,
see More About.
sets optional properties using
name-value arguments in addition to the required arguments in the previous
syntax. For example, CMSNoteInstrument
= fininstrument(___,Name=Value
)CMSNoteInstrument =
fininstrument("CMSNote",Maturity=datetime(2028,9,15),CMSReferenceTenor=10)
creates a CMSNote
with a maturity of September 15, 2028.
You can specify multiple name-value arguments.
Input Arguments
InstrumentType
— Instrument type
string with value "CMSNote"
| string array with values of "CMSNote"
| character vector with value 'CMSNote'
| cell array of character vectors with values of
'CMSNote'
Instrument type, specified as a string with the value of
"CMSNote"
, a character vector with the value of
'CMSNote'
, an
NINST
-by-1
string array with
values of "CMSNote"
, or an
NINST
-by-1
cell array of
character vectors with values of 'CMSNote'
.
Data Types: char
| cell
| string
Specify required
and optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where
Name
is the argument name and Value
is
the corresponding value. Name-value arguments must appear after other arguments,
but the order of the pairs does not matter.
Example: CMSNoteInstrument =
fininstrument("CMSNote",Maturity=datetime(2028,9,15),CMSReferenceTenor=10)
CMSNote
Name-Value ArgumentsMaturity
— CMS maturity date
datetime array | string array | date character vector
CMS maturity date, specified as Maturity
and a
scalar or an NINST
-by-1
vector
using a datetime array, string array, or date character
vectors.
If you use date character vectors or strings, the format must be
recognizable by datetime
because
the Maturity
property is stored as a datetime
data type.
CMSReferenceTenor
— Tenor, in years, for underlying reference swap of CMS leg
scalar or vector of positive values
Tenor, in years, for the underlying reference swap of the CMS leg,
specified as CMSReferenceTenor
and a scalar or an
NINST
-by-1
vector of
positive values.
Data Types: double
CMSNote
Name-Value Pair ArgumentsSpread
— Spread over CMS rate
0
(default) | scalar decimal
Spread over CMS rate, specified as Spread
and a
scalar decimal.
Data Types: double
Period
— Frequency of actual payments per year
2
(default) | scalar numeric value of 1
,
2
, 3
,
4
, 6
, or
12
| numeric vector with values of 1
,
2
, 3
,
4
, 6
, or
12
Frequency of actual payments per year, specified as
Period
and a scalar integer or an
NINST
-by-1
vector of
integers.
Data Types: double
InitialCouponPeriod
— Number of initial periods with fixed interest
0
(default) | scalar numeric | numeric vector
Number of initial periods with fixed interest, specified as
InitialCoupnPeriod
and a scalar or
NINST
-by-1
vector of
numeric values.
Data Types: double
InitialCouponRate
— Initial annual fixed coupon rate applicable to InitialCouponPeriod
0
(default) | scalar positive decimal | positive vector of decimals
Initial annual fixed coupon rate, in decimals, applicable to
InitialCouponPeriod
, specified as
InitialCouponRate
and a scalar or
NINST
-by-1
vector of
positive numeric values.
Data Types: double
CMSReferenceReset
— Frequency of payments, per year, for underlying reference swap
2
(default) | scalar numeric value of 1
,
2
, 3
,
4
, 6
, or
12
| numeric vector with values of 1
,
2
, 3
,
4
, 6
, or
12
Frequency of payments, per year, for the underlying reference
swap, specified as CMSReferenceReset
and a scalar
or NINST
-by-1
vector with
supported numeric values.
Data Types: double
ResetOffset
— Number of lagged days in rate setting
0
(default) | scalar | vector
Number of lagged days in the rate setting, specified as
ResetOffset
and a scalar or an
NINST
-by-1
vector.
Data Types: double
ProjectionCurve
— Rate curve for projecting floating cash flows
ratecurve.empty
object (default) | scalar ratecurve
object | vector of ratecurve
objects
Rate curve for projecting floating cash flows, specified as
ProjectionCurve
and a scalar
ratecurve
object or an
NINST
-by-1
vector of
ratecurve
objects. You must create a
ratecurve
object using ratecurve
.
Data Types: object
Basis
— Day count basis
0
(actual/actual) (default) | integer from 0
to
13
Day count basis, specified as Basis
and a
scalar or NINST
-by-1
vector.
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
Principal
— Principal amount
100
(default) | scalar numeric | numeric vector
Principal amount or principal value schedule, specified as
Principal
and a scalar numeric or an
NINST
-by-1
numeric
vector.
Data Types: double
LatestFloatingRate
— Latest floating rate in decimals
if not specified, then
ratecurve
must contain this information (default) | scalar numeric | vector
Latest floating rate in decimals, specified as
LatestFloatingRate
and a scalar numeric or an
NINST
-by-1
vector.
Data Types: double
LatestCMSRate
— Latest CMS rate in decimals
if not specified, then
ratecurve
or
LatestFloatingRate
must contain this
information (default) | scalar numeric | vector
Latest CMS rate in decimals, specified as
LatestCMSRate
and a scalar numeric or an
NINST
-by-1
numeric
vector.
Setting the LatestCMSRate
overrides
LatestFloatingRate
.
Data Types: double
DaycountAdjustedCashFlow
— Flag to adjust cash flows based on day count convention
false
(default) | scalar logical value of true
or
false
| vector of logical values of true
or
false
Flag to adjust cash flows based on day count convention
(Basis
), specified as
DaycountAdjustedCashFlow
and a scalar or an
NINST
-by-1
vector.
Data Types: logical
BusinessDayConvention
— Business day conventions for cash flow dates
"actual"
(default) | scalar string | string array | scalar character vector | cell array of character vectors
Business day conventions for cash flow dates, specified as
BusinessDayConvention
and scalar string or
character vector or NINST
-by-1
cell array 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
— Holidays used in computing business days
NaT
(default) | datetime array | date character vector | string array
Holidays used in computing business days, specified as
Holidays
and an
NINST
-by-1
vector using a
datetime array, cell array of date character vectors, or date string
array. For
example:
H = holidays(datetime(2022,9,15),datetime(2029,9,15)); CMSNoteInstrument = fininstrument("CMSNote",Maturity=datetime(2028,9,15),CMSReferenceTenor=1,Holidays=H)
EndMonthRule
— End-of-month rule flag for generating dates when Maturity
is end-of-month date for month with 30
or fewer days
true
(in effect) (default) | logical with value of true
or
false
| vector of logicals with values of true
or
false
End-of-month rule flag for generating dates when
Maturity
is an end-of-month date for a
month with 30 or fewer days, specified as
EndMonthRule
and a logical value of
true
or false
using a
scalar or NINST
-by-1
vector.
If you set
EndMonthRule
tofalse
, the software ignores the rule, meaning that a payment date is always the same numerical day of the month.If you set
EndMonthRule
totrue
, the software sets the rule on, meaning that a payment date is always the last actual day of the month.
Data Types: logical
StartDate
— Forward starting date of payments
Settle
date from
ratecurve
(default) | datetime array | string | string array | date character vector | cell array of date character vectors
Forward starting date of payments, specified as
StartDate
and a scalar or an
NINST
-by-1
vector using a
datetime array, string array, or cell array of date character
vectors.
If you use date character vectors or strings, the format must be
recognizable by datetime
because
the StartDate
property is stored as a datetime
data type.
Data Types: datetime
| char
| string
| cell
Name
— User-defined name for instrument
""
(default) | string | character vector | cell array of character vectors | string array
User-defined name for the instrument, specified as
Name
and a scalar string, character vector,
an NINST
-by-1
cell array of
character vectors, or a string array.
Data Types: char
| cell
| string
Properties
Maturity
— Maturity date
scalar datetime value | vector of datetime values
Maturity date, returned as a scalar datetime value or an
NINST
-by-1
vector of datetime
values.
Data Types: datetime
CMSReferenceTenor
— Tenor, in years, for underlying reference swap of CMS leg
vector of positive values
Tenor, in years, for the underlying reference swap of the CMS leg,
returned as an NINST
-by-1
vector of
positive values.
Data Types: double
Spread
— Spread over CMS rate
0
(default) | scalar decimal
Spread over CMS rate, specified as Spread
and a scalar
decimal.
Data Types: double
Period
— Frequency of actual payments per year
2
(default) | scalar numeric value of 1
, 2
,
3
, 4
, 6
, or
12
| numeric vector with values of 1
, 2
,
3
, 4
, 6
, or
12
Frequency of actual payments per year, returned as a scalar integer or an
NINST
-by-1
vector of
integers.
Data Types: double
InitialCouponPeriod
— Number of initial periods with fixed interest
0
(default) | scalar numeric | numeric vector
Number of initial periods with fixed interest, returned as a scalar or
NINST
-by-1
vector of numeric
values.
Data Types: double
InitialCouponRate
— Initial annual fixed coupon rate applicable to InitialCouponPeriod
0
(default) | scalar positive decimal | positive vector of decimals
Initial annual fixed coupon rate, in decimals, applicable to
InitialCouponPeriod
, returned as a scalar or
NINST
-by-1
vector of positive
numeric values.
Data Types: double
CMSReferenceReset
— Frequency of payments per year for underlying reference swap
2
(default) | scalar numeric value of 1
, 2
,
3
, 4
, 6
, or
12
| numeric vector with values of 1
, 2
,
3
, 4
, 6
, or
12
Frequency of payments per year for the underlying reference swap, returned
as a scalar or a NINST
-by-1
vector
with supported numeric values.
Data Types: double
ResetOffset
— Number of lagged days in rate setting
[0 0]
(default) | scalar numeric | numeric vector
Number of lagged days in the rate setting, returned as a scalar or
NINST
-by-1
vector.
Data Types: double
ProjectionCurve
— Rate curve for projecting floating cash flows
ratecurve.empty
object (default) | scalar ratecurve
object | vector of ratecurve
objects
Rate curve for projecting floating cash flows, returned as a scalar
ratecurve
object or an
NINST
-by-1
vector of
ratecurve
objects.
Data Types: object
Basis
— Day count basis
0
(actual/actual) (default) | integer from 0
to 13
Day count basis, returned as a scalar or an
NINST
-by-1
vector.
Data Types: double
Principal
— Principal amount
100
(default) | scalar numeric | numeric vector
Principal amount or principal value schedule, returned as a scalar numeric
or an NINST
-by-1
numeric
vector.
Data Types: double
LatestFloatingRate
— Latest floating rate in decimals
if not specified, then ratecurve
must
contain this information (default) | scalar numeric | vector
Latest floating rate in decimals, returned as a scalar numeric or an
NINST
-by-1
vector.
Data Types: double
LatestCMSRate
— Latest CMS rate in decimals
if not specified, then ratecurve
or
LatestFloatingRate
must contain this information (default) | scalar numeric | vector
Latest CMS rate in decimals, returned as a scalar numeric or an
NINST
-by-1
numeric vector.
Data Types: double
DaycountAdjustedCashFlow
— Flag to adjust cash flows based on day count convention
false
(default) | scalar logical value of true
or
false
| vector of logical values of true
or
false
Flag to adjust cash flows based on day count convention
(Basis
), returned as a scalar or an
NINST
-by-1
vector.
Data Types: logical
BusinessDayConvention
— Business day conventions for cash flow dates
"actual"
(default) | scalar string | string array
Business day conventions for cash flow dates, returned as a scalar string
or an NINST
-by-1
string array.
Data Types: string
Holidays
— Holidays used in computing business days
NaT
(default) | datetime values
Holidays used in computing business days, returned as an
NINST
-by-1
vector of datetime
values.
Data Types: datetime
EndMonthRule
— End-of-month rule flag for generating dates when Maturity
is end-of-month date for month with 30 or fewer
days
true
(in effect) (default) | logical with value of true
or
false
| vector of logicals with values of true
or
false
End-of-month rule flag for generating dates when
Maturity
is an end-of-month date for a month with 30
or fewer days, returned as a scalar or an
NINST
-by-1
vector.
Data Types: logical
StartDate
— Forward starting date of payments
Settle
date from
ratecurve
object (default) | scalar datetime value | vector of datetime values
Forward starting date of payments, returned as a scalar datetime value or
an NINST
-by-1
vector of datetime
values.
Data Types: datetime
Name
— User-defined name for instrument
""
(default) | string | string array
User-defined name for the instrument, returned as a scalar string or an
NINST
-by-1
string array.
Data Types: string
Object Functions
cmsCashflows | Compute cash flows for CMS or CMSNote
instrument |
Examples
Price CMSNote
Instrument Using CMSConvexityHull
Model and CMSConvexityHull
Pricer
This example shows the workflow to price a CMSNote
instrument when you use a CMSConvexityHull
model and a CMSConvexityHull
pricing method.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
for the underlying interest-rate curve for the CMSNote
instrument.
Settle = datetime(2022,9,15); 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; ZeroCurve = ratecurve('zero',Settle,ZeroDates,ZeroRates)
ZeroCurve = ratecurve with properties: Type: "zero" Compounding: -1 Basis: 0 Dates: [10x1 datetime] Rates: [10x1 double] Settle: 15-Sep-2022 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create CMSNote
Instrument Object
Use fininstrument
to create a CMSNote
instrument object.
CMSNoteInstrument = fininstrument("CMSNote",Maturity=datetime(2028,9,15),CMSReferenceTenor=10,Name="CMSNote instrument")
CMSNoteInstrument = CMSNote with properties: CMSReferenceReset: 2 CMSReferenceTenor: 10 Spread: 0 InitialCouponPeriod: 0 InitialCouponRate: 0 Period: 2 Basis: 0 Principal: 100 LatestFloatingRate: NaN LatestCMSRate: NaN ResetOffset: 0 DaycountAdjustedCashFlow: 0 ProjectionCurve: [0x0 ratecurve] BusinessDayConvention: "actual" Holidays: NaT EndMonthRule: 1 StartDate: NaT Maturity: 15-Sep-2028 Name: "CMSNote instrument"
Create CMSConvexityHull
Model Object
Use finmodel
to create a CMSConvexityHull
model object.
SwapStartDates = datetime(2022,3,15) + calmonths(0:6:13*6)'; FwdSwapVolatility = [37.5;38.7;39.3;39.5;39.4;39.3;39.2;... 39;38.8;38.5;38.3;38;37.8;37.7]./100; CMSConvexityHullModel = finmodel("CMSConvexityHull",CMSConvexityData=timetable(SwapStartDates,FwdSwapVolatility))
CMSConvexityHullModel = CMSConvexityHull with properties: CMSConvexityData: [14x3 timetable]
CMSConvexityHullModel.CMSConvexityData
ans=14×3 timetable
SwapStartDates FwdSwapVolatility FwdVolatility FwdSwapFwdCorrelation
______________ _________________ _____________ _____________________
15-Mar-2022 0.375 0 0
15-Sep-2022 0.387 0 0
15-Mar-2023 0.393 0 0
15-Sep-2023 0.395 0 0
15-Mar-2024 0.394 0 0
15-Sep-2024 0.393 0 0
15-Mar-2025 0.392 0 0
15-Sep-2025 0.39 0 0
15-Mar-2026 0.388 0 0
15-Sep-2026 0.385 0 0
15-Mar-2027 0.383 0 0
15-Sep-2027 0.38 0 0
15-Mar-2028 0.378 0 0
15-Sep-2028 0.377 0 0
Create CMSConvexityHull
Pricer Object
Use finpricer
to create a CMSConvexityHull
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
CMSConvexityHullPricer = finpricer("analytic",Model=CMSConvexityHullModel,DiscountCurve=ZeroCurve)
CMSConvexityHullPricer = CMSConvexityHull with properties: Model: [1x1 finmodel.CMSConvexityHull] DiscountCurve: [1x1 ratecurve]
Price CMSNote
Instrument
Use price
to compute the price for the CMSNote
instrument.
[CMSPrice, outPR] = price(CMSConvexityHullPricer,CMSNoteInstrument)
CMSPrice = 109.1087
outPR = priceresult with properties: Results: [1x1 table] PricerData: [13x7 timetable]
outPR.PricerData
ans=13×7 timetable
Time SwapStartDates ForwardSwapRates ConvexityAdjustments TimingAdjustments CMSRates Accruals SwapEndDates
___________ ______________ ________________ ____________________ _________________ ________ ________ ____________
15-Sep-2022 15-Sep-2022 0.021605 0 0 0.021605 0 15-Sep-2032
15-Mar-2023 15-Sep-2022 0.021605 0 0 0.021605 0.5 15-Sep-2032
15-Sep-2023 15-Mar-2023 0.02286 0.00019992 0 0.02306 0.5 15-Mar-2033
15-Mar-2024 15-Sep-2023 0.024135 0.00045273 0 0.024588 0.5 15-Sep-2033
15-Sep-2024 15-Mar-2024 0.025431 0.00074919 0 0.02618 0.5 15-Mar-2034
15-Mar-2025 15-Sep-2024 0.026751 0.0010992 0 0.02785 0.5 15-Sep-2034
15-Sep-2025 15-Mar-2025 0.02801 0.0014918 0 0.029502 0.5 15-Mar-2035
15-Mar-2026 15-Sep-2025 0.029262 0.0019316 0 0.031194 0.5 15-Sep-2035
15-Sep-2026 15-Mar-2026 0.030318 0.0023865 0 0.032705 0.5 15-Mar-2036
15-Mar-2027 15-Sep-2026 0.0313 0.0028593 0 0.03416 0.5 15-Sep-2036
15-Sep-2027 15-Mar-2027 0.032102 0.003331 0 0.035433 0.5 15-Mar-2037
15-Mar-2028 15-Sep-2027 0.032798 0.0038007 0 0.036599 0.5 15-Sep-2037
15-Sep-2028 15-Mar-2028 0.033406 0.0042947 0 0.0377 0.5 15-Mar-2038
Price Multiple CMSNote
Instruments Using CMSConvexityHull
Model and CMSConvexityHull
Pricer
This example shows the workflow to price multiple CMSNote
instruments when you use a CMSConvexityHull
model and a CMSConvexityHull
pricing method.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
for the underlying interest-rate curve for the CMS
instrument.
Settle = datetime(2022,9,15); 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; ZeroCurve = ratecurve('zero',Settle,ZeroDates,ZeroRates)
ZeroCurve = ratecurve with properties: Type: "zero" Compounding: -1 Basis: 0 Dates: [10x1 datetime] Rates: [10x1 double] Settle: 15-Sep-2022 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create CMSNote
Instrument Object
Use fininstrument
to create a CMS
instrument object for three CMSNote instruments.
CMSNoteInstrument = fininstrument("CMSNote",Maturity=datetime([2026,9,15 ; 2027,9,15 ; 2028,9,15]),CMSReferenceTenor=10)
CMSNoteInstrument=3×1 CMSNote array with properties:
CMSReferenceReset
CMSReferenceTenor
Spread
InitialCouponPeriod
InitialCouponRate
Period
Basis
Principal
LatestFloatingRate
LatestCMSRate
ResetOffset
DaycountAdjustedCashFlow
ProjectionCurve
BusinessDayConvention
Holidays
EndMonthRule
StartDate
Maturity
Name
Create CMSConvexityHull
Model Object
Use finmodel
to create a CMSConvexityHull
model object.
SwapStartDates = datetime(2022,3,15) + calmonths(0:6:13*6)'; FwdSwapVolatility = [37.5;38.7;39.3;39.5;39.4;39.3;39.2;... 39;38.8;38.5;38.3;38;37.8;37.7]./100; CMSConvexityHullModel = finmodel("CMSConvexityHull",CMSConvexityData=timetable(SwapStartDates,FwdSwapVolatility))
CMSConvexityHullModel = CMSConvexityHull with properties: CMSConvexityData: [14x3 timetable]
CMSConvexityHullModel.CMSConvexityData
ans=14×3 timetable
SwapStartDates FwdSwapVolatility FwdVolatility FwdSwapFwdCorrelation
______________ _________________ _____________ _____________________
15-Mar-2022 0.375 0 0
15-Sep-2022 0.387 0 0
15-Mar-2023 0.393 0 0
15-Sep-2023 0.395 0 0
15-Mar-2024 0.394 0 0
15-Sep-2024 0.393 0 0
15-Mar-2025 0.392 0 0
15-Sep-2025 0.39 0 0
15-Mar-2026 0.388 0 0
15-Sep-2026 0.385 0 0
15-Mar-2027 0.383 0 0
15-Sep-2027 0.38 0 0
15-Mar-2028 0.378 0 0
15-Sep-2028 0.377 0 0
Create CMSConvexityHull
Pricer Object
Use finpricer
to create a CMSConvexityHull
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
CMSConvexityHullPricer = finpricer("analytic",Model=CMSConvexityHullModel,DiscountCurve=ZeroCurve)
CMSConvexityHullPricer = CMSConvexityHull with properties: Model: [1x1 finmodel.CMSConvexityHull] DiscountCurve: [1x1 ratecurve]
Price CMSNote
Instruments
Use price
to compute the price for the three CMSNote
instruments.
[CMSPrice, outPR] = price(CMSConvexityHullPricer,CMSNoteInstrument)
CMSPrice = 3×1
106.9455
108.1561
109.1087
outPR=1×3 priceresult array with properties:
Results
PricerData
outPR.PricerData
ans=9×7 timetable
Time SwapStartDates ForwardSwapRates ConvexityAdjustments TimingAdjustments CMSRates Accruals SwapEndDates
___________ ______________ ________________ ____________________ _________________ ________ ________ ____________
15-Sep-2022 15-Sep-2022 0.021605 0 0 0.021605 0 15-Sep-2032
15-Mar-2023 15-Sep-2022 0.021605 0 0 0.021605 0.5 15-Sep-2032
15-Sep-2023 15-Mar-2023 0.02286 0.00019992 0 0.02306 0.5 15-Mar-2033
15-Mar-2024 15-Sep-2023 0.024135 0.00045273 0 0.024588 0.5 15-Sep-2033
15-Sep-2024 15-Mar-2024 0.025431 0.00074919 0 0.02618 0.5 15-Mar-2034
15-Mar-2025 15-Sep-2024 0.026751 0.0010992 0 0.02785 0.5 15-Sep-2034
15-Sep-2025 15-Mar-2025 0.02801 0.0014918 0 0.029502 0.5 15-Mar-2035
15-Mar-2026 15-Sep-2025 0.029262 0.0019316 0 0.031194 0.5 15-Sep-2035
15-Sep-2026 15-Mar-2026 0.030318 0.0023865 0 0.032705 0.5 15-Mar-2036
ans=11×7 timetable
Time SwapStartDates ForwardSwapRates ConvexityAdjustments TimingAdjustments CMSRates Accruals SwapEndDates
___________ ______________ ________________ ____________________ _________________ ________ ________ ____________
15-Sep-2022 15-Sep-2022 0.021605 0 0 0.021605 0 15-Sep-2032
15-Mar-2023 15-Sep-2022 0.021605 0 0 0.021605 0.5 15-Sep-2032
15-Sep-2023 15-Mar-2023 0.02286 0.00019992 0 0.02306 0.5 15-Mar-2033
15-Mar-2024 15-Sep-2023 0.024135 0.00045273 0 0.024588 0.5 15-Sep-2033
15-Sep-2024 15-Mar-2024 0.025431 0.00074919 0 0.02618 0.5 15-Mar-2034
15-Mar-2025 15-Sep-2024 0.026751 0.0010992 0 0.02785 0.5 15-Sep-2034
15-Sep-2025 15-Mar-2025 0.02801 0.0014918 0 0.029502 0.5 15-Mar-2035
15-Mar-2026 15-Sep-2025 0.029262 0.0019316 0 0.031194 0.5 15-Sep-2035
15-Sep-2026 15-Mar-2026 0.030318 0.0023865 0 0.032705 0.5 15-Mar-2036
15-Mar-2027 15-Sep-2026 0.0313 0.0028593 0 0.03416 0.5 15-Sep-2036
15-Sep-2027 15-Mar-2027 0.032102 0.003331 0 0.035433 0.5 15-Mar-2037
ans=13×7 timetable
Time SwapStartDates ForwardSwapRates ConvexityAdjustments TimingAdjustments CMSRates Accruals SwapEndDates
___________ ______________ ________________ ____________________ _________________ ________ ________ ____________
15-Sep-2022 15-Sep-2022 0.021605 0 0 0.021605 0 15-Sep-2032
15-Mar-2023 15-Sep-2022 0.021605 0 0 0.021605 0.5 15-Sep-2032
15-Sep-2023 15-Mar-2023 0.02286 0.00019992 0 0.02306 0.5 15-Mar-2033
15-Mar-2024 15-Sep-2023 0.024135 0.00045273 0 0.024588 0.5 15-Sep-2033
15-Sep-2024 15-Mar-2024 0.025431 0.00074919 0 0.02618 0.5 15-Mar-2034
15-Mar-2025 15-Sep-2024 0.026751 0.0010992 0 0.02785 0.5 15-Sep-2034
15-Sep-2025 15-Mar-2025 0.02801 0.0014918 0 0.029502 0.5 15-Mar-2035
15-Mar-2026 15-Sep-2025 0.029262 0.0019316 0 0.031194 0.5 15-Sep-2035
15-Sep-2026 15-Mar-2026 0.030318 0.0023865 0 0.032705 0.5 15-Mar-2036
15-Mar-2027 15-Sep-2026 0.0313 0.0028593 0 0.03416 0.5 15-Sep-2036
15-Sep-2027 15-Mar-2027 0.032102 0.003331 0 0.035433 0.5 15-Mar-2037
15-Mar-2028 15-Sep-2027 0.032798 0.0038007 0 0.036599 0.5 15-Sep-2037
15-Sep-2028 15-Mar-2028 0.033406 0.0042947 0 0.0377 0.5 15-Mar-2038
More About
CMS-Linked Note
A CMS-linked note is a debt instrument issued at a specific face value, where the periodic coupon payments can change depending on the CMS rates.
In the simplest type of CMS-linked notes, the coupon payments are made based on a specific CMS rate (for example, a 10-year CMS rate) that is updated every period. The tenor of the CMS reference swaps can be different from the maturity of the CMS-linked note itself (for example, 10-year swap tenors versus 6-year CMS-linked note maturity). Also, the reset frequency of the CMS reference swaps can be different from the period of the CMS-linked note itself. Some CMS-linked notes can have additional features that affect the cash flows, such as an initial coupon period during which the coupon rate is fixed.
Version History
Introduced in R2023a
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