agencyprice
Price callable bond using Agency OAS model
Syntax
Description
specifies options using one or more name-value
pair arguments in addition to the input arguments
in the previous syntax.Price
= agencyprice(___,Name,Value
)
Examples
Compute the Agency Price
This example shows how to compute the agency Price
.
Settle = '20-Jan-2010'; ZeroRates = [.07 .164 .253 1.002 1.732 2.226 2.605 3.316 ... 3.474 4.188 4.902]'/100; ZeroDates = daysadd(Settle,360*[.25 .5 1 2 3 4 5 7 10 20 30],1); ZeroData = [ZeroDates ZeroRates]; Maturity = datetime(2013,12,30); CouponRate = .022; OAS = 6.53/10000; Vol = .5117; CallDate = datetime(2010,12,30); Price = agencyprice(ZeroData, OAS, CouponRate, Settle, Maturity, Vol, CallDate)
Price = 99.4212
Input Arguments
ZeroData
— Zero curve
matrix
Zero curve, specified as an
numRates
-by-2
matrix where the first column is zero dates and
the second column is the accompanying zero
rates.
Data Types: double
OAS
— Option-adjusted spreads
vector in decimals
Option-adjusted spreads, specified as an
numBonds
-by-1
vector expressed as a decimal (that is, 50 basis
points is entered as
.005
).
Data Types: double
CouponRate
— Coupon rates
vector in decimals
Coupon rates, specified as an
numBonds
-by-1
vector in decimals.
Data Types: double
Settle
— Settlement date
datetime scalar | string scalar | date character vector
Settlement date, specified as a scalar datetime, string, or date character vector.
Note
The Settle
date must be
an identical settlement date for all the bonds and
the zero curve.
To support existing code, agencyprice
also
accepts serial date numbers as inputs, but they are not recommended.
Maturity
— Maturity date
datetime array | scalar array | date character vector
Maturity date, specified as a scalar string
or character vector or
numBonds
-by-1
vector using a datetime array, string array, or
date character vectors.
To support existing code, agencyprice
also
accepts serial date numbers as inputs, but they are not recommended.
Vol
— Volatilities
vector in decimals
Volatilities specified as a scalar or an
numBonds
-by-1
vector in decimals. Vol
is the
volatility of interest rates corresponding to the
time of the CallDate
.
Data Types: double
CallDate
— Call dates
datetime array | string array | date character vector
Call dates, specified as a scalar string or
character vector or an
numBonds
-by-1
vector using a datetime array, string array, or
date character vectors.
To support existing code, agencyprice
also
accepts serial date numbers as inputs, but they are not recommended.
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: Price =
agencyprice(ZeroData,OAS,CouponRate,Settle,Maturity,Vol,CallDate,'Basis',7,'Face',1000)
Basis
— Day-count basis
0
(actual/actual) (default) | integer from 0
to
13
Day-count basis, specified as the
comma-separated pair consisting of
'Basis'
and a
N
-by-1
vector using the following values:
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
CurveBasis
— Curve basis
0
(actual/actual) (default) | integer from 0
to
13
Curve basis, specified as the
comma-separated pair consisting of
'CurveBasis'
and a
N
-by-1
vector using the following values:
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
CurveCompounding
— Compounding frequency of the zero curve
2
(semiannual) (default) | possible values include:
–1
, 0
,
1
, 2
,
3
, 4
,
6
,
12
.
Compounding frequency of the zero curve,
specified as the comma-separated pair consisting
of 'CurveCompounding'
and a
N
-by-1
vector using the supported values:
–1
, 0
,
1
, 2
,
3
, 4
,
6
, and 12
.
Data Types: double
EndMonthRule
— End-of-month rule flag
1
(in
effect) (default) | nonnegative integer
[0,1]
End-of-month rule flag, specified as the
comma-separated pair consisting of
'EndMonthRule'
and a
nonnegative integer [0
,
1
] using a
N
-by-1
vector with date character vectors or a datetime array.
0
= Ignore rule, meaning that a payment date is always the same numerical day of the month.1
= Set rule on, meaning that a payment date is always the last actual day of the month.
Data Types: logical
Face
— face value of bond
100
(default) | vector
Face value of bond, specified as the
comma-separated pair consisting of
'Face'
and an
N
-by-1
vector of numeric values.
Data Types: double
FirstCouponDate
— Irregular first coupon date
if you do not specify a
FirstCouponDate
, the cash flow
payment dates are determined from other
inputs (default) | datetime array | string array | date character vector
Irregular first coupon date, specified as
the comma-separated pair consisting of
'FirstCouponDate'
and a scalar
string or character vector or an
NINST
-by-1
vector using a datetime array, string array, or
date character vectors.
To support existing code, agencyprice
also
accepts serial date numbers as inputs, but they are not recommended.
When FirstCouponDate
and
LastCouponDate
are both
specified, FirstCouponDate
takes precedence in determining the coupon payment
structure.
InterpMethod
— Interpolation method
'linear'
(default) | 'cubic'
,'pchip'
Interpolation method, specified as the
comma-separated pair consisting of
'InterpMethod'
and a
N
-by-1
vector using a supported value. For more
information on interpolation methods, see
interp1
.
Data Types: char
IssueDate
— Bond issue date
if you do not specify an
IssueDate
, the cash flow
payment dates are determined from other
inputs (default) | datetime array | scalar array | date character vector
Bond issue date, specified as the
comma-separated pair consisting of
'IssueDate'
and a scalar string
or character vector or an
N
-by-1
vector using a datetime array, string array, or
date character vectors.
LastCouponDate
— Irregular last coupon date
datetime array | string array | date character vector
Irregular last coupon date, specified as the
comma-separated pair consisting of
'LastCouponDate'
and a scalar
string or character vector or an
N
-by-1
vector using a datetime array, string array, or
date character vectors.
To support existing code, agencyprice
also
accepts serial date numbers as inputs, but they are not recommended.
In the absence of a specified
FirstCouponDate
, a specified
LastCouponDate
determines the
coupon structure of the bond. The coupon structure
of a bond is truncated at the
LastCouponDate
, regardless of
where it falls, and is followed only by the bond's
maturity cash flow date.
Period
— Coupons per year
2
per
year (default) | vector
Coupons per year, specified as the
comma-separated pair consisting of
'Period'
and an
N
-by-1
vector. Values for Period
are
0
, 1
,
2
, 3
,
4
, 6
, and
12
.
Data Types: double
StartDate
— Forward starting date of payments
Settle
date (default) | datetime array | string array | date character vector
Forward starting date of payments (the date
from which a bond cash flow is considered),
specified as the comma-separated pair consisting
of 'StartDate'
and a scalar
string or character vector or an
N
-by-1
vector using a datetime array, string array, or
date character vectors.
To support existing code, agencyprice
also
accepts serial date numbers as inputs, but they are not recommended.
If you do not specify
StartDate
, the effective start
date is the Settle
date.
Output Arguments
Price
— Prices
matrix
Prices returned as an
numBonds
-by-1
matrix.
More About
Agency OAS Model
The BMA European Callable Securities Formula provides a standard methodology for computing price and option-adjusted spread for European Callable Securities (ECS).
References
[1] SIFMA, The BMA European Callable Securities
Formula, https://www.sifma.org
.
Version History
Introduced before R2006aR2022b: Serial date numbers not recommended
Although agencyprice
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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