instfloat

Construct floating-rate instrument

Syntax

InstSet = instfloat(InstSet, Spread, Settle, Maturity, Reset,
Basis, Principal, EndMonthRule)
InstSet = instfloat(InstSet, Spread, Settle, Maturity, Reset,
Basis, Principal, EndMonthRule, CapRate, FloorRate)
[FieldList, ClassList, TypeString] = instfloat

Arguments

InstSet

Instrument variable. This argument is specified only when adding floating-rate note instruments to an existing instrument set. See instget for more information on the InstSet variable.

Spread

Number of basis points over the reference rate.

Settle

Settlement date. Date string or serial date number representing the settlement date of the floating-rate note.

Maturity

Date string or serial date number representing the maturity date of the floating-rate note.

Reset

(Optional) NINST-by-1 vector representing the frequency of payments per year. Default = 1.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 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/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

Principal

(Optional) NINST-by-1 of notional principal amounts or NINST-by-1 cell array where each element is a NumDates-by-2 cell array where the first column is dates and the second column is associated principal amount. The date indicates the last day that the principal value is valid. Default is 100.

EndMonthRule

(Optional) NINST-by-1 vector representing the End-of-month rule. Default = 1.

CapRate

(Optional) NINST-by-1 decimal annual rate or NINST-by-1 cell array, where each element is a NumDates-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.

FloorRate

(Optional) NINST-by-1 decimal annual rate or NINST-by-1 cell array, where each element is a NumDates-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 arguments are number of instruments (NINST)-by-1 vectors, scalar, or empty. Fill unspecified entries in vectors with NaN. Only one data argument is required to create the instrument. The others may be omitted or passed as empty matrices [].

Description

InstSet = instfloat(InstSet, Spread, Settle, Maturity, Reset,
Basis, Principal, EndMonthRule)
creates a new instrument set containing floating-rate instruments or adds floating-rate instruments to an existing instrument set.

InstSet = instfloat(InstSet, Spread, Settle, Maturity, Reset,
Basis, Principal, EndMonthRule, CapRate, FloorRate)
creates a new instrument set containing capped floating-rate instruments or adds capped floating-rate instruments to an existing instrument set.

[FieldList, ClassList, TypeString] = instfloat displays the classes.

FieldList is a number of fields (NFIELDS)-by-1 cell array of strings listing the name of each data field for this instrument type.

ClassList is an NFIELDS-by-1 cell array of strings listing the data class of each field. The class determines how arguments are parsed. Valid strings are 'dble', 'date', and 'char'.

TypeString is a string specifying the type of instrument added. For a floating-rate instrument, TypeString = 'Float'.

Examples

expand all

Create a Floating-Rate Instrument

Define the characteristics of the floating-rate instrument.

Spread = 2;
Settle = datenum('15-Mar-2013');
Maturity = datenum('15-Mar-2018');
Reset = 4;
Basis = 1;
Principal = 1000;
EndMonthRule = 1;
CapRate = 0.35;
FloorRate = 0.27;

Create the new floating-rate instrument.

ISet = instfloat(Spread, Settle, Maturity, Reset, Basis, Principal, ...
EndMonthRule, CapRate, FloorRate)
ISet = 

        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Float'}
     FieldName: {{9x1 cell}}
    FieldClass: {{9x1 cell}}
     FieldData: {{9x1 cell}}

Display the floating-rate instrument.

instdisp(ISet)
Index Type  Spread Settle         Maturity       FloatReset Basis Principal EndMonthRule CapRate FloorRate
1     Float 2      15-Mar-2013    15-Mar-2018    4          1     1000      1            0.35    0.27     
 
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