instswap
Construct swap instrument
Syntax
Description
[
lists field meta-data for the Swap instrument.FieldList
,ClassList
,TypeString
] = instswap
Examples
Create a Vanilla Swap Instrument
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 = datetime(2007,1,1); Maturity = datetime(2012,1,1); 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: {{1x1 cell}}
FieldClass: {{1x1 cell}}
FieldData: {{1x1 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
Create a Float-Float Swap and Price with intenvprice
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
Create Float-Float, Fixed-Fixed, and Float-Fixed Swaps and Price with intenvprice
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
InstSet
— Instrument variable
structure
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
LegRate
— Leg rate
matrix
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
Settle
— Settlement date
datetime array | string array | date character vector
Settlement date, specified either as a scalar or
NINST
-by-1
vector using a datetime array, string
array, or date character vectors.
To support existing code, instswap
also
accepts serial date numbers as inputs, but they are not recommended.
Maturity
— Maturity date
datetime array | string array | date character vector
Maturity date, specified as a scalar or an
NINST
-by-1
vector using a datetime array, string
array, or date character vectors representing the maturity date for each swap.
To support existing code, instswap
also
accepts serial date numbers as inputs, but they are not recommended.
LegReset
— Reset frequency per year for each swap
[1 1]
(default) | vector
(Optional) Reset frequency per year for each swap, specified as an
NINST
-by-2
vector.
Data Types: double
Basis
— Day-count basis representing the basis for each leg
0
(actual/actual) (default) | integer from 0
to 13
(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
Principal
— Notional principal amounts or principal value schedules
100
(default) | vector or cell array
(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
LegType
— Leg type
[1 0]
for each instrument (default) | matrix with values [1 1]
(fixed-fixed), [1 0]
(fixed-float), [0 1]
(float-fixed), or [0 0]
(float-float)
(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
EndMonthRule
— End-of-month rule flag for generating dates when Maturity
is end-of-month date for month having 30 or fewer days
1
(in effect) (default) | nonnegative integer [0,1]
(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 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
StartDate
— Date swap actually starts
Settle
date (default) | datetime array | string array | date character vector
(Optional) Date swap actually starts, specified as an
NINST
-by-1
vector using a datetime array, string
array, or date character vectors.
To support existing code, instswap
also
accepts serial date numbers as inputs, but they are not recommended.
Use this argument to price forward swaps, that is, swaps that start in a future date
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 Swap instrument
cell array of character vectors
Name of each data field for a Swap 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 Swap instrument,
TypeString = 'Swap'
.
More About
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.
Version History
Introduced before R2006aR2022b: Serial date numbers not recommended
Although instswap
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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