User manual MATLAB FINANCIAL DERIVATIVES TOOLBOX 5

[. . . ] Financial Derivatives ToolboxTM 5 User's Guide How to Contact The MathWorks Web Newsgroup www. mathworks. com/contact_TS. html Technical Support www. mathworks. com comp. soft-sys. matlab suggest@mathworks. com bugs@mathworks. com doc@mathworks. com service@mathworks. com info@mathworks. com Product enhancement suggestions Bug reports Documentation error reports Order status, license renewals, passcodes Sales, pricing, and general information 508-647-7000 (Phone) 508-647-7001 (Fax) The MathWorks, Inc. 3 Apple Hill Drive Natick, MA 01760-2098 For contact information about worldwide offices, see the MathWorks Web site. Financial Derivatives ToolboxTM User's Guide © COPYRIGHT 2000­2010 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. [. . . ] The floating-rate note argument Settle is ignored. Examples Price a 20 basis point floating-rate note using a Hull-White interest-rate tree. Load the file deriv. mat, which provides HWTree. The HWTree structure contains the time and interest-rate information needed to price the note. 6-223 floatbyhw load deriv. mat Set the required values. Other arguments will use defaults. Spread = 20; Settle = '01-Jan-2005'; Maturity = '01-Jan-2006'; Use floatbyhw to compute the price of the note. Price = floatbyhw(HWTree, Spread, Settle, Maturity) Price = 100. 3825 See Also bondbyhw, capbyhw, cfbyhw, fixedbyhw, floorbyhw, hwtree, swapbyhw 6-224 floatbyzero Purpose Syntax Price floating-rate note from set of zero curves Price = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset, Basis, Principal, EndMonthRule) Arguments RateSpec Structure containing the properties of an interest-rate structure. See intenvset for information on creating RateSpec. Spread Settle Maturity Reset Basis Number of basis points over the reference rate. Settle must be earlier than Maturity. Maturity date. (Optional) Frequency of payments per year. (Optional) Day-count basis of the instrument. · 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) 6-225 floatbyzero · 10 = actual/365 (ICMA) · 11 = 30/360E (ICMA) · 12 = actual/actual (ISDA) · 13 = BUS/252 Principal (Optional) The notional principal amount. Default = 100. EndMonthRule (Optional) NINST-by-1 vector representing the End-of-month rule. Default = 1. All inputs are either scalars or NINST-by-1 vectors unless otherwise specified. Any date may be a serial date number or date string. An optional argument may be passed as an empty matrix []. Description Price = floatbyzero(RateSpec, Spread, Settle, Maturity, Reset, Basis, Principal, EndMonthRule) computes the price of a floating-rate note from a set of zero curves. Price is a number of instruments (NINST) by number of curves (NUMCURVES) matrix of floating-rate note prices. Each column arises from one of the zero curves. Examples Price a 20­basis point floating-rate note using a set of zero curves. Load the file deriv. mat, which provides ZeroRateSpec, the interest-rate term structure needed to price the note. load deriv. mat Set the required values. Other arguments will use defaults. Spread = 20; Settle = '01-Jan-2000'; Maturity = '01-Jan-2003'; 6-226 floatbyzero Use floatbyzero to compute the price of the note. Price = floatbyzero(ZeroRateSpec, Spread, Settle, Maturity) Price = 100. 5529 See Also bondbyzero, cfbyzero, fixedbyzero, swapbyzero 6-227 floorbybdt Purpose Syntax Price floor instrument from BDT interest-rate tree [Price, PriceTree] = floorbybdt(BDTTree, Strike, Settle, Maturity, Reset, Basis, Principal, Options) Arguments BDTTree Strike Settle Interest-rate tree structure created by bdttree. Number of instruments (NINST)-by-1 vector of rates at which the floor is exercised. NINST-by-1 vector of dates representing the settlement dates of the floor. The Settle date for every floor is set to the ValuationDate of the BDT tree. The floor argument Settle is ignored. NINST-by-1 vector of dates representing the maturity dates of the floor. Maturity Reset Basis (Optional) NINST-by-1 vector representing the frequency of payments per year. (Optional) Day-count basis of the instrument. · 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) 6-228 floorbybdt · 8 = actual/actual (ICMA) · 9 = actual/360 (ICMA) · 10 = actual/365 (ICMA) · 11 = 30/360E (ICMA) · 12 = actual/actual (ISDA) · 13 = BUS/252 Principal Options (Optional) The notional principal amount. [. . . ] spread For options, a combination of call or put options on the same stock with differing exercise prices or maturity dates. stochastic model Involving or containing a random variable or variables; involving chance or probability. strike price See exercise price on page Glossary-4. supershare option A digital option that pays out a proportion of the assets underlying a portfolio if the asset lies between a lower and an upper bound at the expiry of the option. [. . . ]