Financial Derivatives Toolbox

fixedbyzero

Price fixed rate note by a set of zero curves

Syntax

• Price = fixedbyzero(RateSpec, CouponRate, Settle, Maturity, Reset, 
  Basis, Principal)
  

Arguments

RateSpec	A structure encapsulating the properties of an interest rate structure. See intenvset for information on creating RateSpec.
CouponRate	Decimal annual rate.
Settle	Settlement date. Settle must be earlier than or equal to Maturity.
Maturity	Maturity date.
Reset	(Optional) Frequency of payments per year. Default = 1.
Basis	(Optional) Day count basis. Default = 0 (actual/actual).
Principal	(Optional) The notional principal amount. Default = 100.

All inputs are either scalars or NINST-by-1 vectors unless otherwise specified. Any date may be a serial date number or date string. An optional argument may be passed as an empty matrix [].

Description

Price = fixedbyzero(RateSpec, CouponRate, Settle, Maturity, Reset, Basis, Principal) computes the price of a fixed rate note by a set of zero curves.

Price is a number of instruments (NINST) by number of curves (NUMCURVES) matrix of fixed rate note prices. Each column arises from one of the zero curves.

Examples

Price a 4% fixed rate note using a set of zero curves.

Load the file deriv.mat, which provides ZeroRateSpec, the interest rate term structure needed to price the note.

• load deriv 
  

Set the required values. Other arguments will use defaults.

• CouponRate = 0.04;
  Settle = '01-Jan-2000';
  Maturity = '01-Jan-2003';
  

Use fixedbyzero to compute the price of the note.

• Price = fixedbyzero(ZeroRateSpec, CouponRate, Settle, Maturity)
  
  Price =
  
    98.7159
  

See Also

bondbyzero, cfbyzero, floatbyzero, swapbyzero

fixedbyhjm

floatbybdt