floatbyhjm
Price floating-rate note from Heath-Jarrow-Morton interest-rate tree
Syntax
Description
[
prices a floating-rate note from a Heath-Jarrow-Morton interest-rate tree.Price
,PriceTree
] = floatbyhjm(HJMTree
,Spread
,Settle
,Maturity
)
floatbyhjm
computes prices of vanilla floating-rate notes, amortizing floating-rate notes, capped floating-rate notes, floored floating-rate notes and collared floating-rate notes.
[
adds additional name-value pair arguments.Price
,PriceTree
] = floatbyhjm(___,Name,Value
)
Examples
Price a Floating-Rate Note Using an HJM Tree
Price a 20-basis point floating-rate note using an HJM forward-rate tree.
Load the filederiv.mat
, which providesHJMTree
. TheHJMTree
structure contains the time and interest-rate information needed to price the note.
loadderiv.mat;
Define the floating-rate note using the required arguments. Other arguments use defaults.
Spread = 20; Settle ='01-Jan-2000'; Maturity ='01-Jan-2003';
Usefloatbyhjm
to compute the price of the note.
Price = floatbyhjm(HJMTree, Spread, Settle, Maturity)
Price = 100.5529
Price an Amortizing Floating-Rate Note
Price an amortizing floating-rate note using thePrincipal
input argument to define the amortization schedule.
创建RateSpec
.
Rates = [0.03583; 0.042147; 0.047345; 0.052707; 0.054302]; ValuationDate ='15-Nov-2011'; StartDates = ValuationDate; EndDates = {'15-Nov-2012';'15-Nov-2013';'15-Nov-2014';'15-Nov-2015';'15-Nov-2016'}; Compounding = 1; RateSpec = intenvset('ValuationDate', ValuationDate,'StartDates', StartDates,...'EndDates', EndDates,'Rates', Rates,'Compounding', Compounding)
RateSpec =struct with fields:FinObj: 'RateSpec' Compounding: 1 Disc: [5x1 double] Rates: [5x1 double] EndTimes: [5x1 double] StartTimes: [5x1 double] EndDates: [5x1 double] StartDates: 734822 ValuationDate: 734822 Basis: 0 EndMonthRule: 1
创建floating-rate instrument using the following data:
Settle ='15-Nov-2011'; Maturity ='15-Nov-2015'; Spread = 15;
Define the floating-rate note amortizing schedule.
Principal ={{'15-Nov-2012'100;'15-Nov-2013'70;'15-Nov-2014'40;'15-Nov-2015'10}};
Build the HJM tree using the following data:
MatDates = {'15-Nov-2012';'15-Nov-2013';'15-Nov-2014';'15-Nov-2015';'15-Nov-2016';'15-Nov-2017'}; HJMTimeSpec = hjmtimespec(RateSpec.ValuationDate, MatDates); Volatility = [.10; .08; .06; .04]; CurveTerm = [ 1; 2; 3; 4]; HJMVolSpec = hjmvolspec('Proportional', Volatility, CurveTerm, 1e6); HJMT = hjmtree(HJMVolSpec,RateSpec,HJMTimeSpec);
Compute the price of the amortizing floating-rate note.
Price = floatbyhjm(HJMT, Spread, Settle, Maturity,'Principal', Principal)
Price = 100.3059
Price a Collar with a Floating-Rate Note
Price a collar with a floating-rate note using theCapRate
andFloorRate
input argument to define the collar pricing.
Price a portfolio of collared floating-rate notes using the following data:
Rates = [0.0287; 0.03024; 0.03345; 0.03861; 0.04033]; ValuationDate ='1-April-2012'; StartDates = ValuationDate; EndDates = {'1-April-2013';'1-April-2014';'1-April-2015';...'1-April-2016';'1-April-2017'}; Compounding = 1;
创建RateSpec
.
RateSpec = intenvset('ValuationDate', ValuationDate,'StartDates', StartDates,...'EndDates', EndDates,'Rates', Rates,'Compounding', Compounding);
Build the HJM tree with the following data:
MatDates = {'1-April-2013';'1-April-2014';'1-April-2015';...'1-April-2016';'1-April-2017';'1-April-2018'}; HJMTimeSpec = hjmtimespec(RateSpec.ValuationDate, MatDates); Volatility = [.10; .08; .06; .04]; CurveTerm = [ 1; 2; 3; 4]; HJMVolSpec = hjmvolspec('Proportional', Volatility, CurveTerm, 1e6); HJMT = hjmtree(HJMVolSpec,RateSpec,HJMTimeSpec);
创建floating-rate note instrument.
Settle ='1-April-2012'; Maturity ='1-April-2016'; Spread = 10; Principal = 100;
Compute the price of two capped collared floating-rate notes.
CapStrike = [0.04;0.055]; PriceCapped = floatbyhjm(HJMT, Spread, Settle, Maturity,...'CapRate', CapStrike)
PriceCapped =2×198.9986 100.2051
Compute the price of two collared floating-rate notes.
FloorStrike = [0.035;0.040]; PriceCollared = floatbyhjm(HJMT, Spread, Settle, Maturity,...'CapRate', CapStrike,'FloorRate', FloorStrike)
PriceCollared =2×199.9246 102.2321
Input Arguments
HJMTree
—Interest-rate structure
structure
Interest-rate tree structure, created byhjmtree
Data Types:struct
Spread
—Number of basis points over the reference rate
vector
Number of basis points over the reference rate, specified as aNINST
-by-1
vector.
Data Types:double
Settle
—Settlement date
serial date number|character vector
Settlement date, specified either as a scalar orNINST
-by-1
矢量c串行数字或日期haracter vectors.
TheSettle
date for every floating-rate note is set to theValuationDate
of the HJM tree. The floating-rate note argumentSettle
is ignored.
Data Types:char
|double
Maturity
—Maturity date
serial date number|character vector
Maturity date, specified as aNINST
-by-1
矢量c串行数字或日期haracter vectors representing the maturity date for each floating-rate note.
Data Types:char
|double
Name-Value Arguments
Specify optional pairs of arguments asName1=Value1,...,NameN=ValueN
, whereName
is the argument name andValue
is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.
Before R2021a, use commas to separate each name and value, and encloseName
in quotes.
Example:[Price,PriceTree] = floatbyhjm(HJMTree,Spread,Settle,Maturity,'Basis',3)
FloatReset
—Frequency of payments per year
1
(default) |vector
Frequency of payments per year, specified as the comma-separated pair consisting of'FloatReset'
and aNINST
-by-1
vector.
Note
Payments on floating-rate notes (FRNs) are determined by the effective interest-rate between reset dates. If the reset period for an FRN spans more than one tree level, calculating the payment becomes impossible due to the recombining nature of the tree. That is, the tree path connecting the two consecutive reset dates cannot be uniquely determined because there is more than one possible path for connecting the two payment dates.
Data Types:double
Basis
—Day count basis
0
(actual/actual)(default) |integer from0
to13
Day count basis representing the basis used when annualizing the input forward rate tree, specified as the comma-separated pair consisting of'Basis'
and aNINST
-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, seeBasis.
Data Types:double
Principal
—Notional principal amounts or principal value schedules
100
(default) |vector or cell array
Notional principal amounts, specified as the comma-separated pair consisting of'Principal'
and a vector or cell array.
Principal
accepts aNINST
-by-1
vector orNINST
-by-1
cell array, where each element of the cell array is aNumDates
-by-2
cell array and the first column is dates and the second column is its associated notional principal value. The date indicates the last day that the principal value is valid.
Data Types:cell
|double
Options
—Derivatives pricing options structure
structure
Derivatives pricing options structure, specified as the comma-separated pair consisting of'Options'
and a structure usingderivset
.
Data Types:struct
EndMonthRule
—End-of-month rule flag for generating dates whenMaturity
is end-of-month date for month having 30 or fewer days
1
(in effect)(default) |nonnegative integer[0,1]
End-of-month rule flag for generating dates whenMaturity
is an end-of-month date for a month having 30 or fewer days, specified as the comma-separated pair consisting of'EndMonthRule'
and a nonnegative integer [0
,1
] using aNINST
-by-1
vector.
0
= Ignore rule, meaning that a payment date is always the same numerical day of the month.1
= Set rule on, meaning that a payment date is always the last actual day of the month.
Data Types:logical
AdjustCashFlowsBasis
—Flag to adjust cash flows based on actual period day count
false
(default) |value of0
(false) or1
(true)
Flag to adjust cash flows based on actual period day count, specified as the comma-separated pair consisting of'AdjustCashFlowsBasis'
and aNINST
-by-1
vector of logicals with values of0
(false) or1
(true).
Data Types:logical
Holidays
—Holidays used in computing business days
if not specified, the default is to useholidays.m
(default) |MATLAB®date numbers
Holidays used in computing business days, specified as the comma-separated pair consisting of'Holidays'
and MATLAB date numbers using aNHolidays
-by-1
vector.
Data Types:double
BusinessDayConvention
—Business day conventions
actual
(default) |character vector|cell array of character vectors
Business day conventions, specified as the comma-separated pair consisting of'BusinessDayConvention'
and a character vector or aN
-by-1
cell array of character vectors of business day conventions. The selection for business day convention determines how non-business days are treated. Non-business days are defined as weekends plus any other date that businesses are not open (e.g. statutory holidays). Values are:
actual
— Non-business days are effectively ignored. Cash flows that fall on non-business days are assumed to be distributed on the actual date.follow
— Cash flows that fall on a non-business day are assumed to be distributed on the following business day.modifiedfollow
— Cash flows that fall on a non-business day are assumed to be distributed on the following business day. However if the following business day is in a different month, the previous business day is adopted instead.previous
— Cash flows that fall on a non-business day are assumed to be distributed on the previous business day.modifiedprevious
— Cash flows that fall on a non-business day are assumed to be distributed on the previous business day. However if the previous business day is in a different month, the following business day is adopted instead.
Data Types:char
|cell
CapRate
—Annual cap rate
decimal
Annual cap rate, specified as the comma-separated pair consisting of'CapRate'
and aNINST
-by-1
decimal annual rate orNINST
-by-1
cell array, where each element is aNumDates
-by-2
cell array, and the cell array first column is dates, and the second column is associated cap rates. The date indicates the last day that the cap rate is valid.
Data Types:double
|cell
FloorRate
—Annual floor rate
decimal
Annual floor rate, specified as the comma-separated pair consisting of'FloorRate'
and aNINST
-by-1
decimal annual rate orNINST
-by-1
cell array, where each element is aNumDates
-by-2
cell array, and the cell array first column is dates, and the second column is associated floor rates. The date indicates the last day that the floor rate is valid.
Data Types:double
|cell
Output Arguments
Price
预期的浮动利率0时刻注意价格
vector
浮动汇率注意价格预期时间0,returned as aNINST
-by-1
vector.
PriceTree
— Tree structure of instrument prices
structure
Tree structure of instrument prices, returned as a MATLAB structure of trees containing vectors of instrument prices and accrued interest, and a vector of observation times for each node. WithinPriceTree
:
PriceTree.PBush
contains the clean prices.PriceTree.AIBush
contains the accrued interest.PriceTree.tObs
contains the observation times.
More About
Floating-Rate Note
Afloating-rate noteis a security like a bond, but the interest rate of the note is reset periodically, relative to a reference index rate, to reflect fluctuations in market interest rates.
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