cfspread
Compute spread over yield curve for cash flow
Syntax
Description
computes spread over a yield curve for a cash flow.Spread
= cfspread(RateSpec
,Price
,CFlowAmounts
,CFlowDates
,Settle
)
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax. Spread
= cfspread(___,Name,Value
)
Examples
Compute Spread Over a Yield Curve for a Cash Flow
Use cfspread
to compute the spread over a yield curve for a cash flow.
Define data for the yield curve.
Settle = datetime(2003,7,1) %datenum('01-Jul-2003');
Settle = datetime
01-Jul-2003
CurveDates = daysadd(Settle,360*[.25 .5 1 2 3 5 7 10 20],1); ZeroRates = [.0089 .0096 .0107 .0130 .0166 .0248 .0306 .0356 .0454]';
Compute the RateSpec
.
RateSpec = intenvset('StartDates', Settle, 'EndDates', CurveDates,... 'Rates', ZeroRates)
RateSpec = struct with fields:
FinObj: 'RateSpec'
Compounding: 2
Disc: [9x1 double]
Rates: [9x1 double]
EndTimes: [9x1 double]
StartTimes: [9x1 double]
EndDates: [9x1 double]
StartDates: 731763
ValuationDate: 731763
Basis: 0
EndMonthRule: 1
Compute the spread.
Price = 98; CFAmounts = [30;40;30]; CFDates = [datetime(2004,7,15); datetime(2005,7,15) ; datetime(2006,7,15)]; Spread = cfspread(RateSpec, Price, CFAmounts, CFDates, Settle)
Spread = 3×1
103 ×
-8.7956
-4.0774
-3.7073
Input Arguments
RateSpec
— Interest-rate specification for initial risk-free rate curve
structure
Price
— Price of cash flows
vector
Price of cash flows, specified as an
NINST
-by-1
vector.
Data Types: double
CFlowAmounts
— Cash flow amounts
vector
Cash flow amounts, specified as an
NINST
-by-MOSTCFS
matrix. Each row
is a list of cash flow values for one instrument. If an instrument has fewer
than MOSTCFS
cash flows, the end of the row is padded
with NaN
s.
Data Types: double
CFlowDates
— Cash flow dates
datetime array | string array | date character vector
Cash flow dates, specified as an
NINST
-by-MOSTCFS
matrix using a
datetime array, string array, or date character vectors. Each entry contains
the date of the corresponding cash flow in
CFlowAmounts
.
To support existing code, cfspread
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Settle
— Settlement date
datetime array | string array | date character vector
Settlement date, specified as an
NINST
-by-1
vector using a datetime
array, string array, or date character vectors. The
Settle
date is the date on which the cash flows are
priced.
To support existing code, cfspread
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: Spread =
cfspread(RateSpec,Price,CFlowAmounts,CFlowDates,Settle,'Basis',4)
Note
An optional input of size NINST
-by-1
is
also acceptable as a single value applicable to all contracts. Single values are
internally expanded to an array of size
NINST
-by-1
.
Basis
— Day-count basis
0
(actual/actual) (default) | positive integers of the set [1...13]
| vector of positive integers of the set
[1...13]
Day-count basis, specified as the comma-separated pair consisting of
'Basis'
and a positive integer using a
NINST
-by-1
vector.
0 = actual/actual
1 = 30/360 (SIA)
2 = actual/360
3 = actual/365
4 = 30/360 (PSA)
5 = 30/360 (ISDA)
6 = 30/360 (European)
7 = actual/365 (Japanese)
8 = actual/actual (ICMA)
9 = actual/360 (ICMA)
10 = actual/365 (ICMA)
11 = 30/360E (ICMA)
12 = actual/365 (ISDA)
13 = BUS/252
For more information, see Basis.
Data Types: double
Output Arguments
Spread
— Spread of cash flows over a zero curve
vector
Spread of cash flows over a zero curve, returned as an
NINST
-by-1
vector. The
Spread
is expressed in basis points.
Version History
Introduced in R2012aR2022b: Serial date numbers not recommended
Although cfspread
supports serial date numbers,
datetime
values are recommended instead. The
datetime
data type provides flexible date and time
formats, storage out to nanosecond precision, and properties to account for time
zones and daylight saving time.
To convert serial date numbers or text to datetime
values, use the datetime
function. For example:
t = datetime(738427.656845093,"ConvertFrom","datenum"); y = year(t)
y = 2021
There are no plans to remove support for serial date number inputs.
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