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Price Using Term Structure

Price instrument using interest-rate term structure

Functions

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bondbyzeroPrice bond from set of zero curves
cfbyzeroPrice cash flows from set of zero curves
fixedbyzeroPrice fixed-rate note from set of zero curves
floatbyzeroPrice floating-rate note from set of zero curves
intenvpricePrice instruments from set of zero curves
intenvsensInstrument price and sensitivities from set of zero curves
swapbyzeroPrice swap instrument from set of zero curves and price cross-currency swaps
floatmarginMargin measures for floating-rate bond
floatdiscmarginDiscount margin for floating-rate bond

Examples and How To

Pricing Using Interest-Rate Term Structure

Computation of prices and sensitivities using interest-rate curves.

Concepts

Understanding the Interest-Rate Term Structure

The interest-rate term structure represents the evolution of interest rates through time.

Using Zero-Coupon Bonds

A zero-coupon bond is a corporate, Treasury, or municipal debt instrument that pays no periodic interest.

Term Structure Calculations

In many situations when cash flow is available, discounting factors to the cash flows may not be immediately apparent.

Interest Rate Swaps

Financial Instruments Toolbox™ contains the function liborfloat2fixed, which computes a fixed-rate par yield that equates the floating-rate side of a swap to the fixed-rate side.

Supported Interest-Rate Instrument Functions

Interest-rate instrument functions supported by Financial Instruments Toolbox.

Financial Instruments Toolbox Documentation

Support

A Practical Guide to Modeling Financial Risk with MATLAB

A Practical Guide to Modeling Financial Risk with MATLAB

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