Construct range note instrument
ISet = instrangefloat(Spread,Settle,Maturity,RateSched,Reset,Basis,Principal,EndMonthRule)
ISet = instrangefloat(ISet,Spread,Settle,Maturity,RateSched,Reset,Basis,Principal,EndMonthRule)
ISet = instrangefloat(Spread,Settle,Maturity,RateSched,Reset,Basis,Principal,EndMonthRule)
creates
a range instrument from data arrays.
ISet = instrangefloat(ISet,Spread,Settle,Maturity,RateSched,Reset,Basis,Principal,EndMonthRule)
adds
a new range instrument to an existing instrument set.
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Number of basis points over the reference rate. |
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(Optional) Default: |
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(Optional) Day-count basis of the instrument. A vector of integers.
For more information, see Basis. Default: |
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(Optional) Default: |
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(Optional) Default: |
Note
Data arguments are number of instruments NINST
-by-1
vectors,
scalar, or empty. Fill in unspecified entries vectors with NaN
.
Only one data argument is required to create the instrument. You can
omit or pass the others as empty matrices []
. However,
you cannot price the instrument when using the range note pricing
function if you are missing any of the required input arguments.
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Variable containing a collection of instruments. Instruments are divided by type and each type can have different data fields. Each stored data field has a row vector or character vector for each instrument. Values are:
For more information, on |
Jarrow, Robert. “Modelling Fixed Income Securities and Interest Rate Options.” Stanford Economics and Finance. 2nd Edition. 2002.
instaddfield
| instbond
| instcap
| instdisp
| instswap
| intenvprice
| rangefloatbybdt
| rangefloatbybk
| rangefloatbyhjm
| rangefloatbyhw