User manual MATLAB FINANCIAL DERIVATIVES TOOLBOX

[. . . ] Financial Derivatives Toolbox For Use with MATLAB ® Computation Visualization Programming User's Guide Version 2 How to Contact The MathWorks: www. mathworks. com comp. soft-sys. matlab support@mathworks. com suggest@mathworks. com bugs@mathworks. com doc@mathworks. com service@mathworks. com info@mathworks. com Web Newsgroup Technical support Product enhancement suggestions Bug reports Documentation error reports Order status, license renewals, passcodes Sales, pricing, and general information Phone Fax Mail 508-647-7000 508-647-7001 The MathWorks, Inc. 3 Apple Hill Drive Natick, MA 01760-2098 For contact information about worldwide offices, see the MathWorks Web site. Financial Derivatives Toolbox User's Guide COPYRIGHT 2000 - 2001 by The MathWorks, Inc. The software described in this document is furnished under a license agreement. The software may be used or copied only under the terms of the license agreement. [. . . ] Compounding = 365 Disc = (1 + Z/F)^(-T), where F is the number of days in the basis year and T is a number of days elapsed computed by basis. Compounding = -1 Disc = exp(-T*Z), where T is time in years. Number of points (NPOINTS) by number of curves (NCURVES) matrix of discounts. Disc are unit bond prices over investment intervals from StartTimes, when the cash flow is valued, to EndTimes, when the cash flow is received. NPOINTS-by-1 vector or scalar of times in periodic units Disc EndTimes StartTimes ending the interval to discount over. (Optional) NPOINTS-by-1 vector or scalar of times in periodic units starting the interval to discount over. Default = 0. 4-53 disc2rate EndDates StartDates NPOINTS-by-1 vector or scalar of serial maturity dates ending the interval to discount over. (Optional) NPOINTS-by-1 vector or scalar of serial dates starting the interval to discount over. ValuationDate Scalar value in serial date number form representing the observation date of the investment horizons entered in StartDates and EndDates. Omitted or passed as an empty matrix to invoke Usage 1. Description Rates = disc2rate(Compounding, Disc, EndTimes, StartTimes) and [Rates, EndTimes, StartTimes] = disc2rate(Compounding, Disc, EndDates, StartDates, ValuationDate) convert cash flow discounting factors to interest rates. disc2rate computes the yields over a series of NPOINTS time intervals given the cash flow discounts over those intervals. NCURVES different rate curves can be translated at once if they have the same time structure. The time intervals can represent a zero curve or a forward curve. Rates is an NPOINTS-by-NCURVES column vector of yields in decimal form over the NPOINTS time intervals. StartTimes is an NPOINTS-by-1 column vector of times starting the interval to discount over, measured in periodic units. EndTimes is an NPOINTS-by-1 column vector of times ending the interval to discount over, measured in periodic units. If Compounding = 365 (daily), StartTimes and EndTimes are measured in days. The arguments otherwise contain values, T, computed from SIA semiannual time factors, Tsemi, by the formula T = Tsemi/2 * F, where F is the compounding frequency. The investment intervals can be specified either with input times (Usage 1) or with input dates (Usage 2). Entering ValuationDate invokes the date interpretation; omitting ValuationDate invokes the default time interpretations. See Also rate2disc, ratetimes 4-54 fixedbybdt Purpose Syntax Arguments 4fixedbybdt Price fixed rate note from BDT interest rate tree [Price, PriceTree] = fixedbybdt(BDTTree, CouponRate, Settle, Maturity, Reset, Basis, Principal, Options) BDTTree CouponRate Settle Interest rate tree structure created by bdttree. Number of instruments (NINST)-by-1 vector of dates representing the settlement dates of the fixed rate note. NINST-by-1 vector of dates representing the maturity Maturity Reset Basis dates of the fixed rate note. (Optional) NINST-by-1 vector representing the frequency of payments per year. (Optional) NINST-by-1 vector representing the basis used when annualizing the input forward rate tree. (Optional) The notional principal amount. (Optional) Derivatives pricing options structure created with derivset. Principal Options Description [Price, PriceTree] = fixedbybdt(HJMTree, CouponRate, Settle, Maturity, Reset, Basis, Principal, Options) computes the price of a fixed rate note from a BDT interest rate tree. Price is an NINST-by-1 vector of expected prices of the fixed rate note at time 0. [. . . ] portfolio - A collection of financial assets. price tree structure - A MATLAB structure that holds all pricing information. price vector - A vector of instrument prices. pricing options structure - A MATLAB structure that defines how the price tree is used to find the price of instruments in the portfolio, and how much additional information is displayed in the command window when the pricing function is called. put - An option to sell a stipulated amount of stock or securities within a specified time and at a fixed exercise price. [. . . ]