Financial Derivatives Toolbox | ![]() ![]() |
Price fixed income instruments by a set of zero curves
Syntax
Arguments
RateSpec |
A structure encapsulating the properties of an interest rate structure. See intenvset for information on creating RateSpec . |
InstSet |
Variable containing a collection of instruments. Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or string for each instrument. |
Description
Price = intenvprice(RateSpec, InstSet)
computes arbitrage free prices for instruments against a set of zero coupon bond rate curves.
Price
is a number of instruments (NINST
) by number of curves (NUMCURVES
) matrix of prices of each instrument. If an instrument cannot be priced, a NaN
is returned in that entry.
intenvprice
handles the following instrument types: 'Bond'
, 'CashFlow'
, 'Fixed'
, 'Float'
, 'Swap'
. See instadd
for information about constructing defined types.
See single-type pricing functions to retrieve pricing information.
bondbyzero |
Price bonds by a set of zero curves. |
cfbyzero |
Price arbitrary cash flow instrument by a set of zero curves. |
fixedbyzero |
|
floatbyzero |
Floating rate note prices by zero curves. |
swapbyzero |
Swap prices by a set of zero curves. |
Examples
Load the zero curves and instruments from a data file.
load deriv.mat instdisp(ZeroInstSet) Price = intenvprice(ZeroRateSpec, ZeroInstSet) Price = 98.7159 97.5334 98.7159 100.5529 3.6923
See Also
hjmprice
, hjmsens
, instadd
, intenvsens
, intenvset
![]() | intenvget | intenvsens | ![]() |