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instcap

Construct cap instrument

Description

example

InstSet = instcap(Strike,Settle,Maturity) creates a new instrument set containing Cap instruments.

example

InstSet = instcap(InstSet,Strike,Settle,Maturity) adds Cap instruments to an existing instrument set.

example

InstSet = instcap(___,CapReset,Basis,Principal) adds optional arguments.

example

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

Examples

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Create a new instrument variable with the following information:

Strike = [0.035; 0.045];
Settle= 'Jan-1-2013'; 
Maturity = 'Jan-1-2014'; 
Reset = 1;
Basis = 1;
Principal = 1000;

Create the new cap instruments.

InstSet = instcap(Strike, Settle, Maturity, Reset, Basis, Principal)
InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Cap'}
     FieldName: {{6x1 cell}}
    FieldClass: {{6x1 cell}}
     FieldData: {{6x1 cell}}

Display the cap instruments.

instdisp(InstSet)
Index Type Strike Settle         Maturity       CapReset Basis Principal
1     Cap  0.035  01-Jan-2013    01-Jan-2014    1        1     1000     
2     Cap  0.045  01-Jan-2013    01-Jan-2014    1        1     1000     
 

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

Rate at which the Cap is exercised, specified as a scalar or an NINST-by-1 vector of decimal values.

Data Types: double

Settlement dates, specified as scalar or an NINST-by-1 vector using serial date numbers or date character vectors.

Note

Settle must be earlier than Maturity.

Data Types: double | char

Maturity dates, specified as scalar or an NINST-by-1 vector using serial date numbers or date character vectors.

Data Types: double | char

(Optional) Reset frequency payment per year, specified as a scalar or an NINST-by-1 vector.

Data Types: double

(Optional) Day-count basis, specified as 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 amount, specified as a scalar or an NINST-by-1 of notional principal amounts, or an 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.

Use Principal to pass a schedule to compute the price for an amortizing Cap.

Data Types: double | cell

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 Cap 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 Cap option instrument, TypeString = 'Cap'.

More About

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Cap

A cap is a contract that includes a guarantee that sets the maximum interest rate to be paid by the holder, based on an otherwise floating interest rate.

The payoff for a cap is:

max(CurrentRateCapRate,0)

For more information, see Cap.

Introduced before R2006a