cfbyhw
Price cash flows from Hull-White interest-rate tree
Syntax
Description
Examples
Price a Portfolio Containing Two Cash Flow Instruments
Price a portfolio containing two cash flow instruments paying interest annually over the four-year period from January 1, 2005 to January 1, 2009.
Load the file deriv.mat
, which provides HWTree
.
The HWTree
structure contains the time and interest-rate
information needed to price the instruments.
load deriv.mat;
The valuation date (settle date) specified in HWTree
is
January 1, 2004 (date number 731947
).
HWTree.RateSpec.ValuationDate
ans = 731947
Provide values for the other required arguments.
CFlowAmounts =[5 NaN 5.5 105; 5 0 6 105]; CFlowDates = [731947 NaN 732678 733043; 731947 732313 732678 733043];
Use this information to compute the prices of the two cash flow instruments.
[Price, PriceTree] = cfbyhw(HWTree, CFlowAmounts, CFlowDates,... HWTree.RateSpec.ValuationDate)
Price = 104.3334 104.8032 PriceTree = struct with fields: FinObj: 'HWPriceTree' PTree: {[2×1 double] [2×3 double] [2×5 double] [2×5 double] [2×5 double]} tObs: [0 1 2 3 4] Connect: {[2] [2 3 4] [2 2 3 4 4]} Probs: {[3×1 double] [3×3 double] [3×5 double]}
You can visualize the prices of the two cash flow instruments
with the treeviewer
function.
Input Arguments
HWTree
— Interest-rate tree structure
structure
Interest-rate tree structure, specified by using hwtree
.
Data Types: struct
CFlowAmounts
— Cash flow amounts
matrix
Cash flow amounts, specified as a Number of instruments (NINST
)
by maximum number of cash flows (MOSTCFS
) matrix
of cash flow amounts. Each row is a list of cash flow values for one
instrument. If an instrument has fewer than MOSTCFS
cash
flows, the end of the row is padded with NaN
s.
Data Types: double
CFlowDates
— Cash flow dates
serial date number
Cash flow dates, specified as NINST
-by-MOSTCFS
vector
using serial date numbers. Each entry contains the serial date number of the
corresponding cash flow in CFlowAmounts
.
Data Types: double
Settle
— Settlement date
serial date number | date character vector
Settlement date, specified as a vector using serial date numbers or date character vectors.
The Settle
date for every cash flow is set to the
ValuationDate
of the HW tree. The cash flow argument,
Settle
, is ignored.
Data Types: double
| char
Basis
— Day-count basis of instrument
0
(actual/actual) (default) | integer from 0
to 13
(Optional) Day-count basis of the instrument, specified as a vector of integers.
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
Options
— Derivatives pricing options structure
structure
(Optional) Derivatives pricing options structure, specified
using derivset
.
Data Types: struct
Output Arguments
Price
— Expected prices at time 0
vector
Expected prices at time 0, returned as a NINST
-by-1
vector.
PriceTree
— Tree structure of instrument prices
structure
Tree structure of instrument prices, returned as a MATLAB® structure
of trees containing vectors of instrument prices and observation times
for each node. Within PriceTree
:
PriceTree.PTree
contains the clean prices.PriceTree.tObs
contains the observation times.PriceTree.Connect
contains the connectivity vectors. Each element in the cell array describes how nodes in that level connect to the next. For a given tree level, there areNumNodes
elements in the vector, and they contain the index of the node at the next level that the middle branch connects to. Subtracting 1 from that value indicates where the up-branch connects to, and adding 1 indicated where the down branch connects to.PriceTree.Probs
contains the probability arrays. Each element of the cell array contains the up, middle, and down transition probabilities for each node of the level.
Version History
Introduced before R2006a
MATLAB 명령
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