OISFuture
Description
Create and price an OISFuture
instrument object for one or
more one-month or three-month future instruments using this workflow:
Use
fininstrument
to create anOISFuture
instrument object for one or more OIS Future instruments.Use
ratecurve
to specify an interest-rate model for theOISFuture
instrument object.Use
finpricer
to specify aDiscount
pricing method for one or moreOISFuture
instruments.
Create an OISFuture
instrument object for one or more OIS futures
instruments to use in curve construction using this workflow:
Use
fininstrument
to create anOISFuture
instrument object for one or more OIS future instruments.Use
irbootstrap
to create an interest-rate curve (ratecurve
) for one or moreOISFuture
instruments.
For more information on these workflows, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for an
OISFuture
instrument, see Choose Instruments, Models, and Pricers.
Creation
Syntax
Description
creates an OISFutureInst
= fininstrument(InstrumentType
,QuotedPrice
=OIS_quoted_price,Maturity
=maturity_date,StartDate
=start_date)OISFuture
instrument object for one or more
OIS future instruments by specifying InstrumentType
,
QuotedPrice
, Maturity
, and
StartDate
.
The OISFuture
instrument supports many alternative
reference rate (ARR) securities that are compliant with standards from the
International Organization of Securities Commissions (IOSCO). For example,
ARRs like SOFR, EONIA, SONIA, SARON, and TONAR focus on risk-free rate or
near risk-free rates based on transactions of overnight funding.
sets optional properties using
additional name-value arguments in addition to the required arguments in the
previous syntax. For example, OISFutureInst
= fininstrument(___,Name=Value
)OISFutureInst =
fininstrument("OISFuture",QuotedPrice=99.5,Maturity=datetime(2022,12,15),StartDate=datetime(2022,9,15))
creates an OIS future instrument. You can specify multiple name-value
arguments.
Input Arguments
Name-Value Arguments
Output Arguments
Properties
Object Functions
cashflows | Compute cash flow for FixedBond , FloatBond ,
Swap , FRA , STIRFuture ,
OISFuture , OvernightIndexedSwap , or
Deposit instrument |