price
Syntax
Description
[
computes the instrument price and related pricing information based on the pricing object
Price
,PriceResult
] = price(inpPricer
,inpInstrument
)inpPricer
and the instrument object
inpInstrument
.
[
adds an optional argument to specify sensitivities.Price
,PriceResult
] = price(___,inpSensitivity
)
Examples
Use FXDiscount
Pricer and Multiple ratecurve
Objects to Price CurrencySwap
Instrument Across Currencies
This example shows the workflow to price a CurrencySwap
instrument by using two ratecurve
objects for two zero rates for different currencies and then use a FXDiscount
pricing method.
Create ratecurve
Objects
Create two ratecurve
objects using ratecurve
for the discounting cash flows for the CurrencySwap
instrument. The ZeroCurve_USD
zero curve is for US currency and the EUR_Zero
zero curve is for Euro currency.
Settle = datetime(2023,9,15); % US Currency USD_Dates = datemnth(Settle,[1 3 6 12*[1 2 3 5 7 10 20 30]]'); USD_Zero = [0.03 0.06 0.08 0.13 0.36 0.76 1.63 2.29 2.88 3.64 3.89]'/100; ZeroCurve_USD = ratecurve("zero",Settle,USD_Dates,USD_Zero,Compounding=1)
ZeroCurve_USD = ratecurve with properties: Type: "zero" Compounding: 1 Basis: 0 Dates: [11x1 datetime] Rates: [11x1 double] Settle: 15-Sep-2023 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
% Euro currency EUR_Dates = datemnth(Settle,[3 6 12*[1 2 3 5 7 10 20 30]]'); EUR_Zero = [0.017 0.033 0.088 .27 .512 1.056 1.573 2.183 2.898 2.797]'/100; ZeroCurve_EUR = ratecurve("zero",Settle,EUR_Dates,EUR_Zero,Compounding=1)
ZeroCurve_EUR = ratecurve with properties: Type: "zero" Compounding: 1 Basis: 0 Dates: [10x1 datetime] Rates: [10x1 double] Settle: 15-Sep-2023 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create CurrencySwap
Instrument Object
Use fininstrument
to create a CurrencySwap
instrument object.
% Cross-Currency Swap Data Maturity_FXSwap = Settle + calyears(10); LegRate_FXSwap = [2.5 4]/100; LegType_FXSwap = ["fixed" "fixed"]; LegReset_FXSwap = [2 2]; Notional_FXSwap = [100 100/1.1]; CurrencySwap = fininstrument("CurrencySwap",Maturity=Maturity_FXSwap,LegRate=LegRate_FXSwap,LegType=LegType_FXSwap,Reset=LegReset_FXSwap,Notional=Notional_FXSwap,Name="currencyswap_instrument")
CurrencySwap = CurrencySwap with properties: LegRate: [0.0250 0.0400] LegType: ["fixed" "fixed"] Reset: [2 2] Basis: [0 0] Notional: [100 90.9091] LatestFloatingRate: [NaN NaN] ResetOffset: [0 0] DaycountAdjustedCashFlow: [0 0] ProjectionCurve: [0x0 ratecurve] BusinessDayConvention: ["actual" "actual"] Holidays: NaT EndMonthRule: [1 1] ExchangeInitialNotional: 1 ExchangeMaturityNotional: 1 StartDate: NaT Maturity: 15-Sep-2033 Name: "currencyswap_instrument"
Create FXDiscount
Pricer Object
Use finpricer
to create a FXDiscount
pricer object and use the two ratecurve
objects for the DiscountCurve
name-value argument.
FXRate = [1 1.1];
myFXPricer = finpricer("FXDiscount",DiscountCurve=[ZeroCurve_EUR ZeroCurve_USD],FXRate=FXRate)
myFXPricer = FXDiscount with properties: DiscountCurve: [1x2 ratecurve] FXRate: [1 1.1000]
Price CurrencySwap
Instrument
Use price
to compute the price for the CurrencySwap
instrument.
Price_FXSwap = price(myFXPricer,CurrencySwap,"all")
Price_FXSwap = -7.5751
Input Arguments
inpPricer
— Pricer object
FXDiscount
pricer object
Pricer object, specified as a scalar FXDiscount
pricer object. Use finpricer
to create the FXDiscount
pricer object.
Data Types: object
inpInstrument
— Instrument object
CurrencySwap
object
Instrument object, specified as a scalar or vector for CurrencySwap
instrument objects. Use fininstrument
to create the
CurrencySwap
instrument objects.
Data Types: object
inpSensitivity
— List of sensitivities to compute
[ ]
(default) | string array of character vector with values "Price"
,
"DV01"
, and "All"
| cell array of character vectors with values 'Price'
,
'DV01'
, and 'All'
(Optional) List of sensitivities to compute, specified as a
NOUT
-by-1
or a
1
-by-NOUT
cell array of character vectors or
string array with possible values of 'Price'
and
'DV01'
.
inpSensitivity = {'All'}
or inpSensitivity =
["All"]
specifies that the output is Price
and
DV01
. This input is the same as specifying
inpSensitivity
to include each sensitivity.
The sensitivities supported depend on the
inpInstrument
.
inpInstrument | Supported Sensitivities |
---|---|
CurrencySwap | {'DV01','price'} |
Example: inpSensitivity = {'DV01','price'}
Data Types: cell
| string
Output Arguments
Price
— Instrument price
numeric
Instrument price, returned as a numeric.
PriceResult
— Price result
PriceResult
object
Price result, returned as an object. The object has the following fields:
PriceResult.Results
— Table of results that includes sensitivities (if you specifyinpSensitivity
)PriceResult.PricerData
— Structure for pricer data
More About
DV01
A DV01 sensitivity is a measure for managing interest rate risk, as it quantifies how much the value of a bond or bond portfolio is expected to change with a slight move in interest rates.
DV01 quantifies the price change in monetary terms for a 1 basis point move in rates.
Version History
Introduced in R2024a
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