instfloat

Construct floating-rate instrument

Syntax

InstSet = instfloat(Spread,Settle,Maturity)

InstSet = instfloat(InstSet,Spread,Settle,Maturity)

InstSet = instfloat(___,FloatReset,Basis,Principal,EndMonthRule,CapRate,FloorRate)

[FieldList,ClassList,TypeString] = instfixed

Description

InstSet = instfloat(Spread,Settle,Maturity) creates a new instrument set containing Float instruments.

InstSet = instfloat(InstSet,Spread,Settle,Maturity) adds Float instruments to an existing instrument set.

InstSet = instfloat(___,FloatReset,Basis,Principal,EndMonthRule,CapRate,FloorRate) adds optional arguments.

[FieldList,ClassList,TypeString] = instfixed lists field meta-data for the Float instrument.

Examples

Create a Floating-Rate Instrument

Define the characteristics of the floating-rate instrument.

Spread = 2;
Settle = datenum('15-Mar-2013');
Maturity = datenum('15-Mar-2018');
FloatReset = 4;
Basis = 1;
Principal = 1000;
EndMonthRule = 1;
CapRate = 0.35;
FloorRate = 0.27;

Create the new floating-rate instrument.

ISet = instfloat(Spread, Settle, Maturity, FloatReset, Basis, Principal, ...
EndMonthRule, CapRate, FloorRate)

ISet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Float'}
     FieldName: {{9x1 cell}}
    FieldClass: {{9x1 cell}}
     FieldData: {{9x1 cell}}

Display the floating-rate instrument.

instdisp(ISet)

Index Type  Spread Settle         Maturity       FloatReset Basis Principal EndMonthRule CapRate FloorRate
1     Float 2      15-Mar-2013    15-Mar-2018    4          1     1000      1            0.35    0.27     
 

Input Arguments

InstSet — Instrument variable

structure

Instrument variable, specified only when adding Float instruments to an existing instrument set. For more information on the InstSet variable, see instget.

Data Types: struct

Spread — Number of basis points over the reference rate

vector

Number of basis points over the reference rate, specified as a scalar or an NINST-by-1 vector.

Data Types: double

Settle — Settlement date

serial date number | character vector

Settlement date, specified as a scalar or an 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 floating-rate note.

Data Types: char | double

FloatReset — 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 a scalar nonnegative integer 0 or 1 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

CapRate — Annual cap rate

decimal

(Optional) Annual cap rate, specified as a scalar or an NINST-by-1 decimal annual rate or NINST-by-1 cell array, where each element is a NumDates-by-2 cell array, and the cell array first column is dates, and the second column is associated cap rates. The date indicates the last day that the cap rate is valid.

Data Types: double | cell

FloorRate — Annual floor rate

decimal

(Optional) Annual floor rate, specified as a scalar or an NINST-by-1 decimal annual rate or NINST-by-1 cell array, where each element is a NumDates-by-2 cell array, and the cell array first column is dates, and the second column is associated floor rates. The date indicates the last day that the floor rate is valid.

Data Types: double | cell

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 Float instrument

cell array of character vectors

Name of each data field for a Float 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 Float instrument, TypeString = 'Float'.

More About

Floating-Rate Note

A floating-rate note is a security like a bond, but the interest rate of the note is reset periodically, relative to a reference index rate, to reflect fluctuations in market interest rates.