instfixed

Construct fixed-rate instrument

Syntax

InstSet = instfixed(InstSet, CouponRate, Settle, Maturity,
Reset, Basis, Principal, EndMonthRule)
[FieldList, ClassList, TypeString] = instfixed

Arguments

InstSet

Instrument variable. This argument is specified only when adding fixed-rate note instruments to an existing instrument set. See instget for more information on the InstSet variable.

CouponRate

Decimal annual rate.

Settle

Settlement date. Date string or serial date number representing the settlement date of the fixed-rate note.

Maturity

Date string or serial date number representing the maturity date of the fixed-rate note.

Reset

(Optional) NINST-by-1 vector representing the frequency of payments per year. Default = 1.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 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/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

Principal

(Optional) NINST-by-1 of notional principal amounts or NINST-by-1 cell array where each element is a NumDates-by-2 cell array where the first column is dates and the second column is associated principal amount. The date indicates the last day that the principal value is valid. Default is 100.

EndMonthRule

(Optional) NINST-by-1 vector representing the End-of-month rule. Default = 1.

Data arguments are number of instruments (NINST)-by-1 vectors, scalar, or empty. Fill unspecified entries in vectors with NaN. Only one data argument is required to create the instrument. The others may be omitted or passed as empty matrices [].

Description

InstSet = instfixed(InstSet, CouponRate, Settle, Maturity,
Reset, Basis, Principal, EndMonthRule)
creates a new instrument set containing fixed-rate instruments or adds fixed-rate instruments to an existing instrument set.

[FieldList, ClassList, TypeString] = instfixed displays the classes.

FieldList is a number of fields (NFIELDS)-by-1 cell array of strings listing the name of each data field for this instrument type.

ClassList is an NFIELDS-by-1 cell array of strings listing the data class of each field. The class determines how arguments are parsed. Valid strings are 'dble', 'date', and 'char'.

TypeString is a string specifying the type of instrument added. For a fixed-rate instrument, TypeString = 'Fixed'.

Examples

expand all

Create a Fixed-Rate Instrument

Define the characteristics of the fixed-rate instrument.

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

Create the new cap instrument.

ISet = instfixed(CouponRate, Settle, Maturity, Reset, Basis, Principal,EndMonthRule)
ISet = 

        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           
 
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