instfloor (Financial Derivatives Toolbox)

Construct floor instrument

Syntax

InstSet = instfloor(InstSet, Strike, Settle, Maturity, Reset, Basis, 
Principal)
[FieldList, ClassList, TypeString] = instfloor

Arguments

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

Strike
Rate at which the floor is exercised, as a decimal number.

Settle
Settlement date. A vector of serial date numbers or date strings. Settle must be earlier than or equal to Maturity.

Maturity
Maturity date. A vector of serial date numbers or date strings.

Reset
(Optional) NINST-by-1 vector representing the frequency of payments per year. Default = 1.

Basis
(Optional) Day-count basis of the bond. A vector of integers.
0 = actual/actual (default), 1 = 30/360, 2 = actual/360,
3 = actual/365.

Principal
(Optional) The notional principal amount. Default = 100.

`InstSet`	Instrument variable. This argument is specified only when adding floor instruments to an existing instrument set. See `instget` for more information on the `InstSet` variable.
`Strike`	Rate at which the floor is exercised, as a decimal number.
`Settle`	Settlement date. A vector of serial date numbers or date strings. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date. A vector of serial date numbers or date strings.
`Reset`	(Optional) `NINST`-by-`1` vector representing the frequency of payments per year. Default = `1`.
`Basis`	(Optional) Day-count basis of the bond. A vector of integers. `0` = actual/actual (default), `1` = 30/360, `2` = actual/360, `3` = actual/365.
`Principal`	(Optional) The notional principal amount. Default = `100`.

Description

InstSet = instfloor(InstSet, Strike, Settle, Maturity, Reset, Basis, Principal) creates a new instrument set containing floor instruments or adds floor instruments to an existing instrument set.

[FieldList, ClassList, TypeString] = instfloor 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 floor instrument, TypeString = 'Floor'.

instfloat instget