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intenvsens

Instrument price and sensitivities from set of zero curves

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Syntax

[Delta,Gamma,Price] = intenvprice(RateSpecInstSet)

Description

[Delta,Gamma,Price] = intenvprice(RateSpecInstSet) computes dollar prices and price sensitivities for instruments that use a zero coupon bond rate structure.

intenvsens handles the following instrument types: 'Bond', 'CashFlow', 'Fixed', 'Float', 'Swap'. See instadd for information about constructing defined types.

example

Examples

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Open Live Script

Load the tree and instruments from the deriv.mat data file and use intenvprice to compute dollar prices and sensitivities for instruments that use a zero coupon bond rate structure.

load deriv.mat
instdisp(ZeroInstSet)
Index Type CouponRate Settle         Maturity       Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face Name    Quantity
1     Bond 0.04       01-Jan-2000    01-Jan-2003    1      NaN   NaN          NaN       NaN             NaN            NaN       NaN  4% bond 100     
2     Bond 0.04       01-Jan-2000    01-Jan-2004    2      NaN   NaN          NaN       NaN             NaN            NaN       NaN  4% bond  50     
 
Index Type  CouponRate Settle         Maturity       FixedReset Basis Principal Name     Quantity
3     Fixed 0.04       01-Jan-2000    01-Jan-2003    1          NaN   NaN       4% Fixed 80      
 
Index Type  Spread Settle         Maturity       FloatReset Basis Principal Name       Quantity
4     Float 20     01-Jan-2000    01-Jan-2003    1          NaN   NaN       20BP Float 8       
 
Index Type LegRate    Settle         Maturity       LegReset Basis Principal LegType Name         Quantity
5     Swap [0.06  20] 01-Jan-2000    01-Jan-2003    [1  1]   NaN   NaN       [NaN]   6%/20BP Swap 10      
 

[Delta,Gamma] = intenvsens(ZeroRateSpec,ZeroInstSet)
Delta = 5×1

 -272.6403
 -347.4386
 -272.6403
   -1.0445
 -282.0405


Gamma = 5×1
103 ×

    1.0298
    1.6227
    1.0298
    0.0033
    1.0596

Input Arguments

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(Optional) Interest-rate specification, specified by the RateSpec obtained previously from intenvset or toRateSpec for an IRDataCurve or toRateSpec for an IRFunctionCurve.

Data Types: struct

Instrument variable containing a collection of instruments, specified using instadd. Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or character vector for each instrument.

Data Types: struct

Output Arguments

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Rate of change of instrument prices with respect to shifts in the observed zero curve, returned as a number of instruments (NINST) by number of curves (NUMCURVES) matrix. Delta is computed by finite differences.

Note

Delta sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Rate of change of instrument deltas with respect to shifts in the observed zero curve, returned as a number of instruments (NINST) by number of curves (NUMCURVES) matrix. Gamma is computed by finite differences.

Note

Gamma sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Prices of each instrument, returned as a number of instruments (NINST) by number of curves (NUMCURVES) matrix. If an instrument cannot be priced, a NaN is returned in that entry.

Version History

Introduced before R2006a

See Also

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