Instrument variable, specified only when adding Swap instruments to an existing
instrument set. For more information on the InstSet variable, see
instget.
Data Types: struct
LegRate — Leg rate matrix
Leg rate, specified as a scalar or an
NINST-by-2 matrix, with each row defined as one
of the following:
[CouponRate Spread] (fixed-float)
[Spread CouponRate] (float-fixed)
[CouponRate CouponRate] (fixed-fixed)
[Spread Spread] (float-float)
CouponRate is the decimal annual rate. Spread
is the number of basis points over the reference rate. The first column represents the
receiving leg, while the second column represents the paying leg.
Data Types: double
Settle — Settlement date serial date number | character vector
Settlement date, specified either as a scalar or
NINST-by-1 vector of serial date numbers or date
character vectors.
Data Types: char | double
Maturity — Maturity date serial date number | character vector
Maturity date, specified as a scalar or an
NINST-by-1 vector of serial date numbers or date
character vectors representing the maturity date for each swap.
Data Types: char | double
LegReset — Reset frequency per year for each swap [1 1] (default) | vector
(Optional) Reset frequency per year for each swap, specified as an
NINST-by-2 vector.
Data Types: double
Basis — Day-count basis representing the basis for each leg 0 (actual/actual) (default) | integer from 0 to 13
(Optional) Day-count basis representing the basis for each leg, specified as an
NINST-by-1 array (or
NINST-by-2 if Basis is
different for each leg).
Principal — Notional principal amounts or principal value schedules 100 (default) | vector or cell array
(Optional) Notional principal amounts or principal value schedules, specified as a
vector or cell array.
Principal accepts an
NINST-by-1 vector or an
NINST-by-1 cell array (or
NINST-by-2 if Principal is
different for each leg) of the notional principal amounts or principal value schedules.
For schedules, each element of the cell array is a
NumDates-by-2 array where the first column is
dates and the second column is its associated notional principal value. The date
indicates the last day that the principal value is valid.
Data Types: cell | double
LegType — Leg type [1 0] for each instrument (default) | matrix with values [1 1] (fixed-fixed), [1 0]
(fixed-float), [0 1] (float-fixed), or [0 0]
(float-float)
(Optional) Leg type, specified as an
NINST-by-2 matrix with values [1
1] (fixed-fixed), [1 0] (fixed-float), [0
1] (float-fixed), or [0 0] (float-float). Each row
represents an instrument. Each column indicates if the corresponding leg is fixed
(1) or floating (0). This matrix defines the
interpretation of the values entered in LegRate.
LegType allows [1 1] (fixed-fixed), [1
0] (fixed-float), [0 1] (float-fixed), or [0
0] (float-float) swaps
Data Types: double
EndMonthRule — End-of-month rule flag for generating dates when Maturity is end-of-month date for month having 30 or fewer days 1 (in effect) (default) | nonnegative integer [0,1]
(Optional) End-of-month rule flag for generating dates when
Maturity is an end-of-month date for a month having 30 or fewer
days, specified as a nonnegative integer 0 or
1using an NINST-by-1 (or
NINST-by-2 if EndMonthRule is
different for each leg).
0 = Ignore rule, meaning that a payment date is always the
same numerical day of the month.
1 = Set rule on, meaning that a payment date is always the
last actual day of the month.
Data Types: logical
StartDate — Date swap actually starts Settle date (default) | serial date number | character vector
(Optional) Date swap actually starts, specified as an
NINST-by-1 vector of dates using a serial date
number or a character vector.
Use this argument to price forward swaps, that is, swaps that start in a future
date
InstSet — Variable containing a collection of instruments structure
Variable containing a collection of instruments, returned as a structure.
Instruments are broken down by type and each type can have different data fields. Each
stored data field has a row vector or string for each instrument. For more information
on the InstSet variable, see instget.
FieldList — Name of each data field for Swap instrument cell array of character vectors
Name of each data field for a Swap instrument, returned as an
NFIELDS-by-1 cell array of character
vectors.
ClassList — Data class for each field cell array of character vectors
Data class for each field, returned as an
NFIELDS-by-1 cell array of character vectors.
The class determines how arguments are parsed. Valid character vectors are
'dble', 'date', and 'char'.
TypeString — Type of instrument character vector
Type of instrument, returned as a character vector. For a Swap instrument,
TypeString = 'Swap'.
In an amortizing swap, the notional principal decreases periodically
because it is tied to an underlying financial instrument with a declining (amortizing)
principal balance, such as a mortgage.
Forward Swap
Agreement to enter into an interest-rate swap arrangement on a fixed
date in future.
You can also select a web site from the following list:
How to Get Best Site Performance
Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.