instcf

Construct cash flow instrument

Syntax

InstSet = instcf(CFlowAmounts,CFlowDates,Settle)

InstSet = instcf(InstSet,CFlowAmounts,CFlowDates,Settle)

InstSet = instcf(___,Basis)

[FieldList,ClassList,TypeString] = instcf

Description

InstSet = instcf(CFlowAmounts,CFlowDates,Settle) creates a new instrument set containing CashFlow instruments.

InstSet = instcf(InstSet,CFlowAmounts,CFlowDates,Settle) adds CashFlow instruments to an existing instrument set.

InstSet = instcf(___,Basis) adds an optional argument.

[FieldList,ClassList,TypeString] = instcf lists field meta-data for the CashFlow instrument.

Examples

Create Two Cash Flow Instruments

Create a new instrument variable with the following information:

CFlowAmounts =[5 NaN 5.5 105; 5 0 6 105];
CFlowDates = [732678, NaN, 733408,733774; 
              732678, 733034, 733408, 734774];
Settle= 'Jan-1-2015';
Basis = 1;

Create the new cash flow instruments.

InstSet = instcf(CFlowAmounts,CFlowDates,Settle,Basis)

InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'CashFlow'}
     FieldName: {{4x1 cell}}
    FieldClass: {{4x1 cell}}
     FieldData: {{4x1 cell}}

Display the cash flow instruments.

instdisp(InstSet)

Index Type     CFlowAmounts                                CFlowDates                                               Settle         Basis
1     CashFlow 5           NaN           5.5           105 01-Jan-2006      NaN        01-Jan-2008   01-Jan-2009    01-Jan-2015    1    
2     CashFlow 5             0             6           105 01-Jan-2006   23-Dec-2006   01-Jan-2008   28-Sep-2011    01-Jan-2015    1    
 

Input Arguments

InstSet — Instrument variable

structure

Instrument variable, specified only when adding CashFlow instruments to an existing instrument set. For more information on the InstSet variable, see instget.

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 NaNs.

Data Types: double

CFlowDates — Cash flow dates

matrix

Cash flow dates, specified as an NINST-by-MOSTCFS matrix. 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 on which the cash flows are priced, specified as a scalar serial date number or a date character vector.

Data Types: double | char

Basis — Day-count basis

0 (actual/actual) (default) | integer from 0 to 13

(Optional) Day-count basis, specified as scalar or an 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

InstSet — Variable containing a collection of instruments

structure

Variable containing a collection of instruments, returned as a structure. Instruments are broken down by type and each type can have different data fields. Each stored data field has a row vector or string for each instrument. For more information on the InstSet variable, see instget.

FieldList — Name of each data field for CashFlow instrument

cell array of character vectors

Name of each data field for a CashFlow instrument, returned as an NFIELDS-by-1 cell array of character vectors.

ClassList — Data class for each field

cell array of character vectors

Data class for each field, returned as an NFIELDS-by-1 cell array of character vectors. The class determines how arguments are parsed. Valid character vectors are 'dble', 'date', and 'char'.

TypeString — Type of instrument

character vector

Type of instrument, returned as a character vector. For a CashFlow instrument, TypeString = 'CashFlow'.