cfbyhjm
Price cash flows from Heath-Jarrow-Morton interest-rate tree
Syntax
Description
Examples
Price a Portfolio Containing Two Cash Flow Instruments
Price a portfolio containing two cash flow instruments paying interest annually over the four-year period from January 1, 2000 to January 1, 2004.
Load the file deriv.mat
, which provides HJMTree
. The HJMTree
structure contains the time and interest-rate information needed to price the instruments.
load deriv.mat;
The valuation date (settle date) specified in HJMTree
is January 1, 2000 (date number 730486
).
HJMTree.RateSpec.ValuationDate
ans = 730486
Provide values for the other required arguments.
CFlowAmounts =[5 NaN 5.5 105; 5 0 6 105]; CFlowDates = [730852, NaN, 731582, 731947; 730852, 731217, 731582, 731947];
Use this information to compute the prices of the two cash flow instruments.
[Price, PriceTree] = cfbyhjm(HJMTree, CFlowAmounts,... CFlowDates, HJMTree.RateSpec.ValuationDate)
Price = 2×1
96.7805
97.2188
PriceTree = struct with fields:
FinObj: 'HJMPriceTree'
tObs: [0 1 2 3 4]
PBush: {[2x1 double] [2x1x2 double] [2x2x2 double] [2x4x2 double] [2x8 double]}
You can visualize the prices of the two cash flow instruments with the treeviewer
function.
Input Arguments
HJMTree
— Interest-rate tree structure
structure
Interest-rate tree structure, specified by using hjmtree
.
Data Types: struct
CFlowAmounts
— Cash flow amounts
matrix
Cash flow amounts, specified as a Number of instruments (NINST
)
by maximum number of cash flows (MOSTCFS
) matrix
of cash flow amounts. 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
serial date number
Cash flow dates, specified as NINST
-by-MOSTCFS
vector
using serial date numbers. Each entry contains the serial date number of the
corresponding cash flow in CFlowAmounts
.
Data Types: double
Settle
— Settlement date
serial date number | date character vector
Settlement date, specified as a vector using serial date numbers or date character vectors.
The Settle
date for every cash flow is set to the
ValuationDate
of the HJM tree. The cash flow
argument, Settle
, is ignored.
Data Types: double
| char
Basis
— Day-count basis of instrument
0
(actual/actual) (default) | integer from 0
to 13
(Optional) Day-count basis of the instrument, specified as a vector of integers.
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
Options
— Derivatives pricing options structure
structure
(Optional) Derivatives pricing options structure, specified
using derivset
.
Data Types: struct
Output Arguments
Price
— Expected prices at time 0
vector
Expected prices at time 0, returned as a NINST
-by-1
vector.
PriceTree
— Tree structure of instrument prices
structure
Tree structure of instrument prices, returned as a MATLAB® structure
of trees containing vectors of instrument prices and observation times
for each node. Within PriceTree
:
PriceTree.tObs
contains the observation times.PriceTree.PBush
contains the clean prices.
Version History
Introduced before R2006a
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