Discount

Create Discount pricer object for Deposit, FRA, Swap, FixedBond, or FloatBond using ratecurve object

Description

Create and price a Deposit, FRA, Swap, FixedBond, or FloatBond instrument object with a ratecurve and a Discount pricing method using this workflow:

  1. Create an interest-rate curve object using ratecurve.

  2. Use finpricer to specify a Discount pricer object for the Deposit, FRA, Swap, FixedBond, or FloatBond instrument.

    Note

    If you do not specify ProjectionCurve when you create a Swap or FloatBond instrument with the Discount pricer, the ProjectionCurve value defaults to the DiscountCurve value.

For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available instruments, models, and pricing methods for a Deposit, FRA, Swap, FixedBond, or FloatBond instrument, see Choose Instruments, Models, and Pricers.

Creation

Description

example

DiscountPricerObj = finpricer(PricerType,'DiscountCurve',ratecurve_object) creates a Discount pricer object by specifying PricerType and the required name-value pair argument DiscountCurve to set properties using name-value pairs. For example, DiscountPricerObj = finpricer("Discount",'DiscountCurve',ratecurve_obj) creates a Discount pricer object.

Input Arguments

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Pricer type, specified as a string with the value of "Discount" or a character vector with the value of 'Discount'.

Data Types: char | string

Discount Name-Value Pair Arguments

Specify required comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: DiscountPricerObj = finpricer("Discount",'DiscountCurve',ratecurve_obj)

ratecurve object for discounting cash flows, specified as the comma-separated pair consisting of 'DiscountCurve' and the name of a previously created ratecurve object

Data Types: object

Properties

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ratecurve object for discounting cash flows, returned as the ratecurve object.

Data Types: object

Object Functions

priceCompute price for interest-rate instrument with Discount pricer

Examples

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This example shows the workflow to price a Swap instrument when using a ratecurve and a Discount pricing method.

Create ratecurve Object

Create a ratecurve object using ratecurve for the underlying interest-rate curve for the Swap instrument.

Settle = datetime(2022,1,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Jan-2022
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create Swap Instrument Object

Use fininstrument to create a Swap instrument object.

SwapOpt = fininstrument("Swap",'Maturity',datetime(2023,6,15),'LegRate',[0.024 0.015],'LegType',["fixed","float"],'ProjectionCurve',myRC,'Name',"swap_instrument")
SwapOpt = 
  Swap with properties:

                     LegRate: [0.0240 0.0150]
                     LegType: ["fixed"    "float"]
                       Reset: [2 2]
                       Basis: [0 0]
                    Notional: 100
          LatestFloatingRate: [NaN NaN]
                 ResetOffset: [0 0]
    DaycountAdjustedCashFlow: [0 0]
             ProjectionCurve: [1x2 ratecurve]
       BusinessDayConvention: ["actual"    "actual"]
                    Holidays: NaT
                EndMonthRule: [1 1]
                   StartDate: NaT
                    Maturity: 15-Jun-2023
                        Name: "swap_instrument"

Create Discount Pricer Object

Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount", 'DiscountCurve',myRC)
outPricer = 
  Discount with properties:

    DiscountCurve: [1x1 ratecurve]

Price Swap Instrument

Use price to compute the price and sensitivities for the Swap instrument.

[Price, outPR] = price(outPricer, SwapOpt,["all"])
Price = 0.2845
outPR = 
  priceresult with properties:

       Results: [1x2 table]
    PricerData: []

outPR.Results
ans=1×2 table
     Price       DV01   
    _______    _________

    0.28451    0.0075236

Introduced in R2020a