Financial Derivatives Toolbox | ![]() ![]() |
Price fixed rate note from BDT interest rate tree
Syntax
[Price, PriceTree] = fixedbybdt(BDTTree, CouponRate, Settle, Maturity, Reset, Basis, Principal, Options)
Arguments
BDTTree |
Interest rate tree structure created by bdttree . |
CouponRate |
Decimal annual rate. |
Settle |
Settlement dates. Number of instruments (NINST )-by-1 vector of dates representing the settlement dates of the fixed rate note. |
Maturity |
NINST -by-1 vector of dates representing the maturity dates of the fixed rate note. |
Reset |
(Optional) NINST -by-1 vector representing the frequency of payments per year. Default = 1 . |
Basis | (Optional) NINST -by-1 vector representing the basis used when annualizing the input forward rate tree. Default = 0 (actual/actual). |
Principal |
(Optional) The notional principal amount. Default = 100 . |
Options |
(Optional) Derivatives pricing options structure created with derivset . |
Description
[Price, PriceTree] = fixedbybdt(HJMTree, CouponRate, Settle,
Maturity, Reset, Basis, Principal, Options)
computes the price of a fixed rate note from a BDT interest rate tree.
Price
is an NINST
-by-1
vector of expected prices of the fixed rate note at time 0.
PriceTree
is a structure of trees containing vectors of instrument prices and accrued interest, and a vector of observation times for each node.
PriceTree.PTree
contains the clean prices.
PriceTree.AITree
contains the accrued interest.
PriceTree.tObs
contains the observation times.
The Settle
date for every fixed rate note is set to the ValuationDate
of the BDT tree. The fixed rate note argument Settle
is ignored.
Examples
Price a 10% fixed rate note using a BDT interest rate tree.
Load the file deriv.mat
, which provides BDTTree
. BDTTree
contains the time and interest rate information needed to price the note.
Set the required values. Other arguments will use defaults.
Use fixedbybdt
to compute the price of the note.
See Also
bdttree
, bondbybdt
, capbybdt
, cfbybdt
, floatbybdt
, floorbybdt
, swapbybdt
![]() | disc2rate | fixedbyhjm | ![]() |