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instswap

Construct swap instrument

Description

example

InstSet = instswap(LegRate,Settle,Maturity) creates a new instrument set containing Swap instruments.

example

InstSet = instswap(InstSet,LegRate,Settle,Maturity) adds Swap instruments to an existing instrument set.

example

InstSet = instswap(___,LegReset,Basis,Principal,LegType,EndMonthRule,StartDate) adds optional arguments for LegReset, Basis, Principal, LegType, EndMonthRule, and StartDate.

example

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

Examples

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Create a vanilla swap using market data.

Use the following market data to create a swap instrument.

LegRate = [0.065, 0]
LegRate = 1×2

    0.0650         0

Settle = 'jan-1-2007';    
Maturity = 'jan-1-2012';
LegReset = [1, 1];
Basis = 0
Basis = 0
Principal = 100    
Principal = 100
LegType = [1, 0]   
LegType = 1×2

     1     0

InstSet = instswap(LegRate, Settle, Maturity, LegReset, Basis, Principal, LegType)
InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Swap'}
     FieldName: {{9x1 cell}}
    FieldClass: {{9x1 cell}}
     FieldData: {{9x1 cell}}

View the swap instrument using instdisp.

instdisp(InstSet)
Index Type LegRate    Settle         Maturity       LegReset Basis Principal LegType EndMonthRule StartDate
1     Swap [0.065  0] 01-Jan-2007    01-Jan-2012    [1  1]   0     100       [1  0]  1            NaN      
 

Use instswap to create a float-float swap and price the swap with intenvprice.

RateSpec = intenvset('Rates',.05,'StartDate',today,'EndDate',datemnth(today,60));
IS = instswap([40 20],today,datemnth(today,60),[], [], [], [0 0]);
intenvprice(RateSpec,IS)
ans =

    0.8644

Use instswap to create swaps and price the swaps with intenvprice.

RateSpec = intenvset('Rates',.05,'StartDate',today,'EndDate',datemnth(today,60));
IS = instswap([.03 .02],today,datemnth(today,60),[], [], [], [1 1]);
IS = instswap(IS,[200 300],today,datemnth(today,60),[], [], [], [0 0]);
IS = instswap(IS,[300 .07],today,datemnth(today,60),[], [], [], [0 1]);
intenvprice(RateSpec,IS)
ans = 3×1

    4.3220
   -4.3220
    4.5921

Input Arguments

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

Data Types: struct

Leg rate, specified as a scalar or an NINST-by-2 matrix, with each row defined as one of the following:

  • [CouponRate Spread] (fixed-float)

  • [Spread CouponRate] (float-fixed)

  • [CouponRate CouponRate] (fixed-fixed)

  • [Spread Spread] (float-float)

CouponRate is the decimal annual rate. Spread is the number of basis points over the reference rate. The first column represents the receiving leg, while the second column represents the paying leg.

Data Types: double

Settlement date, specified either as a scalar or 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 swap.

Data Types: char | double

(Optional) Reset frequency per year for each swap, specified as an NINST-by-2 vector.

Data Types: double

(Optional) Day-count basis representing the basis for each leg, specified as an NINST-by-1 array (or NINST-by-2 if Basis is different for each leg).

  • 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 or principal value schedules, specified as a vector or cell array.

Principal accepts an NINST-by-1 vector or an NINST-by-1 cell array (or NINST-by-2 if Principal is different for each leg) of the notional principal amounts or principal value schedules. For schedules, each element of the cell array is a NumDates-by-2 array where 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) Leg type, specified as an NINST-by-2 matrix with values [1 1] (fixed-fixed), [1 0] (fixed-float), [0 1] (float-fixed), or [0 0] (float-float). Each row represents an instrument. Each column indicates if the corresponding leg is fixed (1) or floating (0). This matrix defines the interpretation of the values entered in LegRate. LegType allows [1 1] (fixed-fixed), [1 0] (fixed-float), [0 1] (float-fixed), or [0 0] (float-float) swaps

Data Types: 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 1using an NINST-by-1 (or NINST-by-2 if EndMonthRule is different for each leg).

  • 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

(Optional) Date swap actually starts, specified as an NINST-by-1 vector of dates using a serial date number or a character vector.

Use this argument to price forward swaps, that is, swaps that start in a future date

Data Types: char | double

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 Swap 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 Swap instrument, TypeString = 'Swap'.

More About

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Amortizing Swap

In an amortizing swap, the notional principal decreases periodically because it is tied to an underlying financial instrument with a declining (amortizing) principal balance, such as a mortgage.

Forward Swap

Agreement to enter into an interest-rate swap arrangement on a fixed date in future.

Introduced before R2006a