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instfixed

Construct fixed-rate instrument

Description

example

InstSet = instfixed(CouponRate,Settle,Maturity) creates a new instrument set containing Fixed-Rate instruments.

example

InstSet = instfixed(InstSet,CouponRate,Settle,Maturity) adds Fixed-Rate instruments to an existing instrument set.

example

InstSet = instfixed(___,FixedReset,Basis,Principal,EndMonthRule) adds optional arguments.

example

[FieldList,ClassList,TypeString] = instfixed lists field meta-data for the Fixed-Rate instrument.

Examples

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Define the characteristics of the fixed-rate instrument.

CouponRate = .03;
Settle = datenum('15-Mar-2013');
Maturity = datenum('15-Mar-2018');
FixedReset = 4;
Basis = 1;
Principal = 1000;
EndMonthRule = 1;

Create the new cap instrument.

ISet = instfixed(CouponRate, Settle, Maturity, FixedReset, Basis, Principal,EndMonthRule)
ISet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Fixed'}
     FieldName: {{7x1 cell}}
    FieldClass: {{7x1 cell}}
     FieldData: {{7x1 cell}}

Display the fixed-rate instrument.

instdisp(ISet)
Index Type  CouponRate Settle         Maturity       FixedReset Basis Principal EndMonthRule
1     Fixed 0.03       15-Mar-2013    15-Mar-2018    4          1     1000      1           
 

Input Arguments

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

Data Types: struct

Coupon annual rate, specified as a scalar or an NINST-by-1 vector.

Data Types: double

Settlement date for the fixed-rate instrument, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors.

Data Types: char | double

Maturity date, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors representing the maturity date for each fixed-rate note.

Data Types: char | double

(Optional) Frequency of payments per year, specified as a scalar or an NINST-by-1 vector.

Data Types: double

(Optional) Day count basis, specified as a 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

(Optional) Notional principal amounts, specified as a scalar, vector, or cell array.

Principal accepts a NINST-by-1 vector or NINST-by-1 cell array, where each element of the cell array is a NumDates-by-2 cell array and the first column is dates and the second column is its associated notional principal value. The date indicates the last day that the principal value is valid.

Data Types: cell | double

(Optional) End-of-month rule flag for generating dates when Maturity is an end-of-month date for a month having 30 or fewer days, specified as a nonnegative integer 0 or 1 using a scalar or an NINST-by-1 vector.

  • 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

Output Arguments

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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.

Name of each data field for a Fixed-Rate instrument, returned as an NFIELDS-by-1 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'.

Type of instrument, returned as a character vector. For a Fixed-Rate instrument, TypeString = 'Fixed'.

More About

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Fixed-Rate Note

A fixed-rate note is a long-term debt security with a preset interest rate and maturity, by which the interest must be paid.

The principal may or may not be paid at maturity. In Financial Instruments Toolbox™, the principal is always paid at maturity. For more information, see Fixed-Rate Note.

Introduced before R2006a