instfloor
Construct floor instrument
Syntax
Description
adds optional arguments.InstSet
= instfloor(___,FloorReset
,Basis
,Principal
)
[
lists field meta-data for the Floor instrument.FieldList
,ClassList
,TypeString
] = instfloor
Examples
Create a Floor Instrument
Define the characteristics of the floor instrument.
Strike = 0.22; Settle = datenum('15-Mar-2013'); Maturity = datenum('15-Mar-2018'); FloorReset = 4; Basis = 1; Principal = 1000;
Create the new floor instrument.
ISet = instfloor(Strike, Settle, Maturity, FloorReset, Basis, Principal)
ISet = struct with fields:
FinObj: 'Instruments'
IndexTable: [1x1 struct]
Type: {'Floor'}
FieldName: {{6x1 cell}}
FieldClass: {{6x1 cell}}
FieldData: {{6x1 cell}}
Display the floor instrument.
instdisp(ISet)
Index Type Strike Settle Maturity FloorReset Basis Principal 1 Floor 0.22 15-Mar-2013 15-Mar-2018 4 1 1000
Input Arguments
InstSet
— Instrument variable
structure
Instrument variable, specified only when adding Floor
instruments to an existing instrument set. For more information
on the InstSet
variable, see instget
.
Data Types: struct
Strike
— Rate at which floor is exercised
decimal
Rate at which the floor is exercised, specified as a scalar or
an NINST
-by-1
vector of
decimal values.
Data Types: double
Settle
— Settlement date for floor
serial date number | date character vector | cell array of date character vectors
Settlement date for the floor, specified as a scalar or an
NINST
-by-1
vector of
serial date numbers or date character vectors.
Data Types: double
| char
| cell
Maturity
— Maturity date for floor
serial date number | date character vector | cell array of date character vectors
Maturity date for the floor, specified as a scalar or an
NINST
-by-1
vector of
serial date numbers or date character vectors.
Data Types: double
| char
| cell
FloorReset
— Reset frequency payment per year
1
(default) | numeric
(Optional) Reset frequency payment per year, specified as a
scalar or an NINST
-by-1
vector.
Data Types: double
Basis
— Day-count basis of instrument
0
(actual/actual) (default) | integer from 0
to
13
(Optional) Day-count basis, specified as a scalar or an
NINST
-by-1
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
Principal
— Notional principal amount
100
(default) | numeric
(Optional) Notional principal amount, specified as a scalar or
an NINST
-by-1
of notional
principal amounts, or a
NINST
-by-1
cell
array, where each element is a
NumDates
-by-2
cell
array 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.
Use Principal
to pass a schedule to compute
the price for an amortizing floor.
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 Floor instrument
cell array of character vectors
Name of each data field for a Floor 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 Floor
instrument, TypeString = 'Floor'
.
More About
Floor
A floor is a contract that includes a guarantee setting the minimum interest rate to be received by the holder, based on an otherwise floating interest rate.
The payoff for a floor is:
Version History
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