cfspread

Compute spread over yield curve for cash flow

Syntax

Spread = cfspread(RateSpec,Price,CFlowAmounts,CFlowDates,Settle)

Spread = cfspread(___,Name,Value)

Description

Spread = cfspread(RateSpec,Price,CFlowAmounts,CFlowDates,Settle) computes spread over a yield curve for a cash flow.

Spread = cfspread(___,Name,Value) specifies options using one or more name-value pair arguments in addition to the input arguments in the previous syntax.

Examples

Compute Spread Over a Yield Curve for a Cash Flow

Use cfspread to compute the spread over a yield curve for a cash flow.

Define data for the yield curve.

Settle = datetime(2003,7,1) %datenum('01-Jul-2003');

Settle = datetime
   01-Jul-2003

CurveDates = daysadd(Settle,360*[.25 .5 1 2 3 5 7 10 20],1);
ZeroRates = [.0089 .0096 .0107 .0130 .0166 .0248 .0306 .0356 .0454]';

Compute the RateSpec.

RateSpec = intenvset('StartDates', Settle, 'EndDates', CurveDates,...
'Rates', ZeroRates)

RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: [9x1 double]
            Rates: [9x1 double]
         EndTimes: [9x1 double]
       StartTimes: [9x1 double]
         EndDates: [9x1 double]
       StartDates: 731763
    ValuationDate: 731763
            Basis: 0
     EndMonthRule: 1

Compute the spread.

Price = 98;
CFAmounts = [30;40;30];
CFDates = [datetime(2004,7,15); datetime(2005,7,15) ; datetime(2006,7,15)];

Spread = cfspread(RateSpec, Price, CFAmounts, CFDates, Settle)

Spread = 3×1
103 ×

   -8.7956
   -4.0774
   -3.7073

Input Arguments

RateSpec — Interest-rate specification for initial risk-free rate curve

structure

Interest-rate specification for initial risk-free rate curve, specified by the RateSpec obtained from intenvset (Financial Instruments Toolbox). For information on the interest-rate specification, see intenvset (Financial Instruments Toolbox).

Data Types: struct

Price — Price of cash flows

vector

Price of cash flows, specified as an NINST-by-1 vector.

Data Types: double

CFlowAmounts — Cash flow amounts

vector

Cash flow amounts, specified as an NINST-by-MOSTCFS matrix. Each row is a list of cash flow values for one instrument. If an instrument has fewer than MOSTCFS cash flows, the end of the row is padded with NaNs.

Data Types: double

CFlowDates — Cash flow dates

datetime array | string array | date character vector

Cash flow dates, specified as an NINST-by-MOSTCFS matrix using a datetime array, string array, or date character vectors. Each entry contains the date of the corresponding cash flow in CFlowAmounts.

To support existing code, cfspread also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Settle — Settlement date

datetime array | string array | date character vector

Settlement date, specified as an NINST-by-1 vector using a datetime array, string array, or date character vectors. The Settle date is the date on which the cash flows are priced.

To support existing code, cfspread also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: Spread = cfspread(RateSpec,Price,CFlowAmounts,CFlowDates,Settle,'Basis',4)

Note

An optional input of size NINST-by-1 is also acceptable as a single value applicable to all contracts. Single values are internally expanded to an array of size NINST-by-1.

Basis — Day-count basis

0 (actual/actual) (default) | positive integers of the set [1...13] | vector of positive integers of the set [1...13]

Day-count basis, specified as the comma-separated pair consisting of 'Basis' and a positive integer using a NINST-by-1 vector.

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 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/365 (ISDA)

• 13 = BUS/252

For more information, see Basis.

Data Types: double

Output Arguments

Spread — Spread of cash flows over a zero curve

vector

Spread of cash flows over a zero curve, returned as an NINST-by-1 vector. The Spread is expressed in basis points.

Version History

Introduced in R2012a

R2022b: Serial date numbers not recommended

Although cfspread supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.