instfixed
Construct fixed-rate instrument
Syntax
Description
creates a new instrument set containing Fixed-Rate instruments.InstSet
= instfixed(CouponRate
,Settle
,Maturity
)
adds Fixed-Rate instruments to an existing instrument set.InstSet
= instfixed(InstSet
,CouponRate
,Settle
,Maturity
)
adds optional arguments.InstSet
= instfixed(___,FixedReset
,Basis
,Principal
,EndMonthRule
)
[
lists field meta-data for the Fixed-Rate instrument.FieldList
,ClassList
,TypeString
] = instfixed
Examples
Create a Fixed-Rate Instrument
Define the characteristics of the fixed-rate instrument.
CouponRate = .03; Settle = datetime(2013,3,15); Maturity = datetime(2018,3,15); FixedReset = 4; Basis = 1; Principal = 1000; EndMonthRule = 1;
Create the new cap instrument.
ISet = instfixed(CouponRate, Settle, Maturity, FixedReset, Basis, Principal,EndMonthRule)
ISet = struct with fields:
FinObj: 'Instruments'
IndexTable: [1x1 struct]
Type: {'Fixed'}
FieldName: {{1x1 cell}}
FieldClass: {{1x1 cell}}
FieldData: {{1x1 cell}}
Display the fixed-rate instrument.
instdisp(ISet)
Index Type CouponRate Settle Maturity FixedReset Basis Principal EndMonthRule 1 Fixed 0.03 15-Mar-2013 15-Mar-2018 4 1 1000 1
Input Arguments
InstSet
— Instrument variable
structure
Instrument variable, specified only when adding Cap instruments
to an existing instrument set. For more information on the
InstSet
variable, see instget
.
Data Types: struct
CouponRate
— Coupon annual rate
decimal
Coupon annual rate, specified as a scalar or an
NINST
-by-1
vector.
Data Types: double
Settle
— Settlement date
datetime array | string array | date character vector
Settlement date for the fixed-rate instrument, specified as a
scalar or an NINST
-by-1
vector using a datetime array, string array, or date character
vectors.
To support existing code, instfixed
also
accepts serial date numbers as inputs, but they are not recommended.
Maturity
— Maturity date
datetime array | string array | date character vector
Maturity date, specified as a scalar or an
NINST
-by-1
vector
using a datetime array, string array, or date character vectors
representing the maturity date for each fixed-rate note.
To support existing code, instfixed
also
accepts serial date numbers as inputs, but they are not recommended.
FixedReset
— Frequency of payments per year
1
(default) | vector
(Optional) Frequency of payments per year, specified as a scalar
or an NINST
-by-1
vector.
Data Types: double
Basis
— Day count basis
0
(actual/actual) (default) | integer from 0
to
13
(Optional) Day count basis, specified as a scalar or an
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
Principal
— Notional principal amounts or principal value schedules
100
(default) | vector or cell array
(Optional) Notional principal amounts, specified as a scalar, vector, or cell array.
Principal
accepts a
NINST
-by-1
vector or
NINST
-by-1
cell
array, where each element of the cell array is a
NumDates
-by-2
cell
array and 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
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 1
using a
scalar or an NINST
-by-1
vector.
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
Output Arguments
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 Fixed-Rate instrument
cell array of character vectors
Name of each data field for a Fixed-Rate 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
Fixed-Rate instrument, TypeString =
'Fixed'
.
More About
Fixed-Rate Note
A fixed-rate note is a long-term debt security with a preset interest rate and maturity, by which the interest must be paid.
The principal may or may not be paid at maturity. In Financial Instruments Toolbox™, the principal is always paid at maturity. For more information, see Fixed-Rate Note.
Version History
Introduced before R2006aR2022b: Serial date numbers not recommended
Although instfixed
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.
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