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Price floating-rate note from Hull-White interest-rate tree
[Price, PriceTree] = floatbyhw(HWTree,
Spread,
Settle, Maturity)
[Price, PriceTree] = floatbyhw(HWTree,
Spread,
Settle, Maturity, Reset, Basis, Principal,
Options,
EndMonthRule)
[Price, PriceTree] = floatbyhw(HWTree,
Spread, Settle,
Maturity,Name,Value)
HWTree | Interest-rate tree structure created by hwtree. |
Number of instruments (NINST)-by-1 vector of number of basis points over the reference rate. | |
Settle | Settlement dates. NINST-by-1 vector of dates representing the settlement dates of the floating-rate note. |
Maturity | NINST-by-1 vector of dates representing the maturity dates of the floating-rate note. |
Enter the following optional inputs using an ordered syntax or as name-value pair arguments. You cannot mix ordered syntax with name-value pair arguments.
Reset |
NINST-by-1 vector representing the frequency of payments per year.
Default: 1 | |
Basis |
Day-count basis of the instrument. A vector of integers.
For more information, see basis. Default: 0 (actual/actual) | |
Principal |
NINST-by-1 vector of notional principal amounts or NINST-by-1 cell array. For the latter case, each element of the cell array is a NumDates-by-2 matrix where the first column is dates and the second column is associated principal amount. The date indicates the last day that the principal value is valid. Default: 100 | |
Options |
Derivatives pricing options structure created with derivset. | |
EndMonthRule |
End-of-month rule. NINST-by-1 vector. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days.
Default: 1 |
Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside single quotes (' '). You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.
AdjustCashFlowsBasis |
Adjust the cash flows based on the actual period day count. NINST-by-1 of logicals. Default: false |
BusinessDayConvention |
Require payment dates to be business dates. NINST-by-1 cell array with possible choices of business day convention:
Default: actual |
Holidays |
Holidays used for business day convention. NHOLIDAYS-by-1 of MATLAB^{®} date numbers. Default: If no dates are specified, holidays.m is used. |
CapRate |
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. |
FloorRate |
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. |
[Price, PriceTree] = floatbyhw(HWTree,
Spread,
Settle, Maturity) computes the
price of a floating-rate note from a Hull-White tree.
[Price, PriceTree] = floatbyhw(HWTree,
Spread,
Settle, Maturity, Reset, Basis, Principal,
Options,
EndMonthRule) computes the price
of a floating-rate note with optional inputs from a Hull-White tree.
[Price, PriceTree] = floatbyhw(HWTree,
Spread, Settle,
Maturity,Name,Value) computes
the price of a floating-rate note from a Hull-White tree with additional
options specified by one or more Name,Value pair
arguments.
Price is an NINST-by-1 vector of expected prices of the floating-rate note at time 0.
PriceTree is a structure of trees containing vectors of instrument prices and accrued interest, and a vector of observation times for each node.
PriceTree.PTree contains the clean prices.
PriceTree.AITree contains the accrued interest.
PriceTree.tObs contains the observation times.
The Settle date for every floating-rate note is set to the ValuationDate of the HW tree. The floating-rate note argument Settle is ignored.
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