instfloat (Financial Derivatives Toolbox)

Construct floating-rate instrument

Syntax

InstSet = instfloat(InstSet, Spread, Settle, Maturity, Reset, Basis, 
Principal)
[FieldList, ClassList, TypeString] = instfloat

Arguments

InstSet
Instrument variable. This argument is specified only when adding floating rate note instruments to an existing instrument set. See instget for more information on the InstSet variable.

Spread
Number of basis points over the reference rate.

Settle
Settlement date. Date string or serial date number representing the settlement date of the floating rate note.

Maturity
Date string or serial date number representing the maturity date of the floating 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.

`InstSet`	Instrument variable. This argument is specified only when adding floating rate note instruments to an existing instrument set. See `instget` for more information on the `InstSet` variable.
`Spread`	Number of basis points over the reference rate.
`Settle`	Settlement date. Date string or serial date number representing the settlement date of the floating rate note.
`Maturity`	Date string or serial date number representing the maturity date of the floating 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`.

Data arguments are number of instruments (NINST)-by-1 vectors, scalar, or empty. Fill unspecified entries in vectors with NaN. Only one data argument is required to create the instrument. The others may be omitted or passed as empty matrices [].

Description

InstSet = instfloat(InstSet, Spread, Settle, Maturity, Reset, Basis, Principal) creates a new instrument set containing floating rate instruments or adds floating rate instruments to an existing instrument set.

[FieldList, ClassList, TypeString] = instfloat displays the classes.

FieldList is a number of fields (NFIELDS)-by-1 cell array of strings listing the name of each data field for this instrument type.

ClassList is an NFIELDS-by-1 cell array of strings listing the data class of each field. The class determines how arguments are parsed. Valid strings are 'dble', 'date', and 'char'.

TypeString is a string specifying the type of instrument added. For a floating rate instrument, TypeString = 'Float'.

instfixed instfloor