intenvsens

Instrument price and sensitivities from set of zero curves

Syntax

[Delta,Gamma,Price] = intenvprice(RateSpecInstSet)

Description

[Delta,Gamma,Price] = intenvprice(RateSpecInstSet) computes dollar prices and price sensitivities for instruments that use a zero coupon bond rate structure.

intenvsens handles the following instrument types: 'Bond', 'CashFlow', 'Fixed', 'Float', 'Swap'. See instadd for information about constructing defined types.

Examples

Compute Prices Sensitivities for Instruments Using a Zero Coupon Bond Rate Structure

Load the tree and instruments from the deriv.mat data file and use intenvprice to compute dollar prices and sensitivities for instruments that use a zero coupon bond rate structure.

load deriv.mat
instdisp(ZeroInstSet)

Index Type CouponRate Settle         Maturity       Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face Name    Quantity
1     Bond 0.04       01-Jan-2000    01-Jan-2003    1      NaN   NaN          NaN       NaN             NaN            NaN       NaN  4% bond 100     
2     Bond 0.04       01-Jan-2000    01-Jan-2004    2      NaN   NaN          NaN       NaN             NaN            NaN       NaN  4% bond  50     
 
Index Type  CouponRate Settle         Maturity       FixedReset Basis Principal Name     Quantity
3     Fixed 0.04       01-Jan-2000    01-Jan-2003    1          NaN   NaN       4% Fixed 80      
 
Index Type  Spread Settle         Maturity       FloatReset Basis Principal Name       Quantity
4     Float 20     01-Jan-2000    01-Jan-2003    1          NaN   NaN       20BP Float 8       
 
Index Type LegRate    Settle         Maturity       LegReset Basis Principal LegType Name         Quantity
5     Swap [0.06  20] 01-Jan-2000    01-Jan-2003    [1  1]   NaN   NaN       [NaN]   6%/20BP Swap 10      
 

[Delta,Gamma] = intenvsens(ZeroRateSpec,ZeroInstSet)

Delta = 5×1

 -272.6403
 -347.4386
 -272.6403
   -1.0445
 -282.0405

Gamma = 5×1
103 ×

    1.0298
    1.6227
    1.0298
    0.0033
    1.0596

Input Arguments

RateSpec — Interest-rate specification

structure

(Optional) Interest-rate specification, specified by the RateSpec obtained previously from intenvset or toRateSpec for an IRDataCurve or toRateSpec for an IRFunctionCurve.

Data Types: struct

InstSet — Instrument variable containing a collection of instruments

structure

Instrument variable containing a collection of instruments, specified using instadd. Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or character vector for each instrument.

Data Types: struct

Output Arguments

Delta — Rate of change of instrument prices with respect to shifts in the observed zero curve

vector

Rate of change of instrument prices with respect to shifts in the observed zero curve, returned as a number of instruments (NINST) by number of curves (NUMCURVES) matrix. Delta is computed by finite differences.

Note

Delta sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Gamma — Rate of change of instrument deltas with respect to shifts in the observed zero curve

vector

Rate of change of instrument deltas with respect to shifts in the observed zero curve, returned as a number of instruments (NINST) by number of curves (NUMCURVES) matrix. Gamma is computed by finite differences.

Note

Gamma sensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Price — Prices of each instrument

vector

Prices of each instrument, returned as a number of instruments (NINST) by number of curves (NUMCURVES) matrix. If an instrument cannot be priced, a NaN is returned in that entry.

Version History

Introduced before R2006a