Financial Derivatives Toolbox | ![]() ![]() |
Price floating rate note prices by a set of zero curves
See Also
Arguments
RateSpec |
A structure encapsulating the properties of an interest rate structure. See intenvset for information on creating RateSpec . |
Spread |
Number of basis points over the reference 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 = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset,
Basis, Principal)
computes the price of a floating rate note by a set of zero curves.
Price
is a number of instruments (NINST
) by number of curves (NUMCURVES
) matrix of floating rate note prices. Each column arises from one of the zero curves.
Examples
Price a 20 basis point floating 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.
Set the required values. Other arguments will use defaults.
Use floatbyzero
to compute the price of the note.
See Also
bondbyzero
, cfbyzero
, fixedbyzero
, swapbyzero
![]() | floatbyhjm | floorbybdt | ![]() |