Financial Derivatives Toolbox

intenvprice

Price fixed income instruments by a set of zero curves

Syntax

Price = intenvprice(RateSpec, InstSet)

Arguments

RateSpec	A structure encapsulating the properties of an interest rate structure. See intenvset for information on creating RateSpec.
InstSet	Variable containing a collection of instruments. Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or string for each instrument.

Description

Price = intenvprice(RateSpec, InstSet) computes arbitrage free prices for instruments against a set of zero coupon bond rate curves.

Price is a number of instruments (NINST) by number of curves (NUMCURVES) matrix of prices of each instrument. If an instrument cannot be priced, a NaN is returned in that entry.

intenvprice handles the following instrument types: 'Bond', 'CashFlow', 'Fixed', 'Float', 'Swap'. See instadd for information about constructing defined types.

See single-type pricing functions to retrieve pricing information.

bondbyzero	Price bonds by a set of zero curves.
cfbyzero	Price arbitrary cash flow instrument by a set of zero curves.
fixedbyzero	Fixed rate note prices by zero curves.
floatbyzero	Floating rate note prices by zero curves.
swapbyzero	Swap prices by a set of zero curves.

Example

Load the zero curves and instruments from a data file.

load deriv.mat
instdisp(ZeroInstSet)

Price = intenvprice(ZeroRateSpec, ZeroInstSet)

Price =

  105.7678
  107.6912
  105.7678
  100.5768
    5.1910

See Also

hjmprice, hjmsens, instadd, intenvsens, intenvset,

intenvget

intenvsens