Amortizing Swap error Valuation Matlab 2012a

Hello all

I test the swapbyzero function in Matlab R2012a and find an error compared with Matlab R2009b. The old version do a correct valutaion for amortizing swaps, while the new version do it wrong.

1)RateStructure and Specification

StartDate='01-Jun-2005';

EndDates=['02-Jun-2005';'03-Jun-2005';'06-Jun-2005';'10-Jun-2005' ...
;'01-Jul-2005';'01-Aug-2005';'01-Sep-2005';'01-Oct-2005';'01-Nov-2005';'01-Dec-2005' ...
;'01-Jan-2006';'01-Feb-2006';'01-Mar-2006';'01-Apr-2006';'01-May-2006';'01-Jun-2006' ...
;'01-Jun-2007';'01-Jun-2008';'01-Jun-2009';'01-Jun-2010'];

Rates=[0.0208;0.0208;0.0208;0.0209;0.0209;0.021;ones(10,1)*0.0215;0.0227;0.02441;0.02608;0.02764];

RateSpec=intenvset('Rates',Rates,'StartDates',StartDate,'EndDates',EndDates,'Compounding',1,'Basis',0);

2)Swap Characteristics

Settle='01-Jun-2005';      %Settle in one year from now

Maturity='01-Jun-2009';

Basis=[6 2];               %30/360 for fixed and act/360 for variable

Principal ={{'01-Jun-2006' 10000000;'01-Jun-2007' 8000000;'01-Jun-2008' 6000000;'01-Jun-2009' 4000000}};

LegRate=[NaN 0]; %Present value of swap is zero and spread zero.

LegType=[1 0];             %Fixed=1 and Float=0;

LegReset=[1 2];            %Annual for fixed and semiannual for floating.

3)Pricing

[Price, SwapRate] = swapbyzero(RateSpec, LegRate, Settle,... 
Maturity, LegReset, Basis, Principal, LegType) ;

The correct answer is closet to 2.6.

This is the output of an exercise done in "Manual de Instrumentos Derivados" Autor: Roberto Knop 2005 page 204-205.