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intenvsens

Instrument price and sensitivities from set of zero curves

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Syntax

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

Description

example

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

intenvsenshandles the following instrument types:'Bond','CashFlow','Fixed','Float','Swap'. Seeinstaddfor information about constructing defined types.

Examples

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Open Live Script

Load the tree and instruments from thederiv.matdata file and useintenvpriceto compute dollar prices and sensitivities for instruments that use a zero coupon bond rate structure.

loadderiv.matinstdisp(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 =5×1103× 1.0298 1.6227 1.0298 0.0033 1.0596

Input Arguments

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(Optional) Interest-rate specification, specified by theRateSpecobtained previously fromintenvsetortoRateSpecfor anIRDataCurveortoRateSpecfor anIRFunctionCurve.

Data Types:struct

Instrument variable containing a collection of instruments, specified usinginstadd. 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

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Rate of change of instrument prices with respect to shifts in the observed zero curve, returned as a number of instruments (NINSTc)的数量urves (NUMCURVES)矩阵。Deltais computed by finite differences.

Note

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

Rate of change of instrument deltas with respect to shifts in the observed zero curve, returned as a number of instruments (NINSTc)的数量urves (NUMCURVES)矩阵。Gammais computed by finite differences.

Note

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

Prices of each instrument, returned as a number of instruments (NINSTc)的数量urves (NUMCURVES)矩阵。如果无法定价的一种乐器,一个NaNis returned in that entry.

Version History

Introduced before R2006a

See Also

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